Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Television Francaise 1 SA backtest
10 trend-following strategies were compared on the full daily history of Television Francaise 1 SA. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.3%, MDD -33.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.1%, drawdown -95.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -62.4%, Sharpe 0.38, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 33.1%p (CAGR 3.3%, MDD -33.3%, exposure 9%).
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=37, slow=189 |
6.6% | -62.4% | 0.38 | 0.11 | 8.9x | 44 | 49% |
| EMA 크로스오버 fast=45, slow=163 |
5.3% | -60.3% | 0.33 | 0.09 | 5.8x | 46 | 49% |
| 볼린저 밴드 돌파 n=34, k=3.3 |
3.3% | -33.3% | 0.31 | 0.10 | 3.0x | 40 | 9% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=23, mult=3.7 |
3.5% | -37.1% | 0.31 | 0.10 | 3.3x | 56 | 13% |
| Donchian 채널 돌파 entryN=46, exitN=69 |
4.7% | -77.8% | 0.30 | 0.06 | 4.7x | 63 | 60% |
| ADX / DI 방향성 period=31, threshold=30 |
2.0% | -34.7% | 0.23 | 0.06 | 2.0x | 18 | 3% |
| ROC 모멘텀 n=137, threshold=0.04 |
2.6% | -65.5% | 0.22 | 0.04 | 2.4x | 252 | 43% |
| Supertrend period=31, mult=4.7 |
1.3% | -76.1% | 0.17 | 0.02 | 1.6x | 116 | 49% |
| MACD fast=22, slow=32, signal=24 |
-4.2% | -92.2% | -0.04 | -0.05 | 0.2x | 367 | 52% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-11.0% | -98.6% | -0.35 | -0.11 | 0.0x | 533 | 51% |
| Buy and hold | -0.1% | -95.6% | 0.18 | -0.00 | 1.0x | 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 37-day average price crosses above the 189-day average
- Sell — Sell (to cash) when the 37-day average falls below the 189-day average