Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Schneider Electric SE backtest
10 trend-following strategies were compared on the full daily history of Schneider Electric SE. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.5%, MDD -36.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.8%, drawdown -63.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -36.1%, Sharpe 0.44, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 27.3%p (CAGR 7.5%, MDD -36.1%, exposure 63%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=31, slow=193 |
7.5% | -36.1% | 0.44 | 0.21 | 6.7x | 41 | 63% |
| EMA 크로스오버 fast=49, slow=136 |
6.1% | -44.1% | 0.38 | 0.14 | 4.8x | 37 | 63% |
| Donchian 채널 돌파 entryN=114, exitN=78 |
4.6% | -31.6% | 0.33 | 0.15 | 3.3x | 33 | 54% |
| ADX / DI 방향성 period=35, threshold=24 |
0.7% | -7.9% | 0.28 | 0.09 | 1.2x | 6 | 2% |
| ROC 모멘텀 n=135, threshold=-0.1 |
3.5% | -69.6% | 0.26 | 0.05 | 2.5x | 161 | 80% |
| Supertrend period=23, mult=5 |
-0.8% | -63.6% | 0.06 | -0.01 | 0.8x | 87 | 58% |
| 볼린저 밴드 돌파 n=41, k=2.9 |
-0.7% | -48.1% | -0.03 | -0.01 | 0.8x | 46 | 13% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.5% | -83.0% | -0.06 | -0.04 | 0.4x | 248 | 56% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=29, mult=3.8 |
-0.4% | -27.9% | -0.11 | -0.01 | 0.9x | 16 | 3% |
| MACD fast=24, slow=58, signal=19 |
-4.3% | -73.9% | -0.11 | -0.06 | 0.3x | 274 | 49% |
| Buy and hold | 7.8% | -63.4% | 0.39 | 0.12 | 7.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 31-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 31-day average falls below the 193-day average