Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Technip Energies NV backtest
10 trend-following strategies were compared on the full daily history of Technip Energies NV. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.6%, MDD -25.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.9%, drawdown -40.1%).
Sharpe leader (same as main): Supertrend — CAGR 17.6%, MDD -25.0%, Sharpe 0.81, 51% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 15.1%p (CAGR 17.6%, MDD -25.0%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=14, mult=2.4 |
17.6% | -25.0% | 0.81 | 0.70 | 2.4x | 48 | 51% |
| ROC 모멘텀 n=104, threshold=-0.04 |
14.8% | -32.3% | 0.63 | 0.46 | 2.1x | 32 | 70% |
| MACD fast=7, slow=59, signal=8 |
12.0% | -37.6% | 0.61 | 0.32 | 1.9x | 106 | 48% |
| SMA 크로스오버 fast=52, slow=270 |
12.2% | -38.4% | 0.57 | 0.32 | 1.9x | 10 | 60% |
| 볼린저 밴드 돌파 n=16, k=3.1 |
2.5% | -9.2% | 0.44 | 0.27 | 1.1x | 6 | 5% |
| Donchian 채널 돌파 entryN=77, exitN=29 |
5.4% | -30.0% | 0.35 | 0.18 | 1.3x | 14 | 40% |
| ADX / DI 방향성 period=12, threshold=31 |
3.3% | -29.4% | 0.32 | 0.11 | 1.2x | 32 | 17% |
| Parabolic SAR step=0.015, maxStep=0.16 |
3.2% | -44.0% | 0.25 | 0.07 | 1.2x | 102 | 56% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=21, mult=2.6 |
2.0% | -23.0% | 0.20 | 0.09 | 1.1x | 28 | 37% |
| EMA 크로스오버 fast=44, slow=212 |
0.8% | -47.9% | 0.17 | 0.02 | 1.0x | 18 | 67% |
| Buy and hold | 16.9% | -40.1% | 0.60 | 0.42 | 2.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 14-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)