Trend-Following Backtester · Guide · backtest 한국어
equity · GR
Hellenic Telecommunications Organization SA backtest
10 trend-following strategies were compared on the full daily history of Hellenic Telecommunications Organization SA. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.0%, MDD -35.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.5%, drawdown -96.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -52.4%, Sharpe 0.35, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 44.1%p (CAGR 2.0%, MDD -35.0%, 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=42, slow=89 |
5.5% | -52.4% | 0.35 | 0.10 | 5.1x | 93 | 50% |
| EMA 크로스오버 fast=11, slow=157 |
4.8% | -55.4% | 0.32 | 0.09 | 4.1x | 91 | 54% |
| Donchian 채널 돌파 entryN=80, exitN=78 |
3.9% | -60.1% | 0.28 | 0.06 | 3.1x | 43 | 56% |
| 볼린저 밴드 돌파 n=53, k=3.3 |
2.0% | -35.0% | 0.25 | 0.06 | 1.8x | 24 | 9% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=13, mult=3.3 |
1.2% | -66.1% | 0.16 | 0.02 | 1.4x | 93 | 26% |
| Supertrend period=23, mult=5 |
0.9% | -80.0% | 0.15 | 0.01 | 1.3x | 93 | 50% |
| ADX / DI 방향성 period=18, threshold=30 |
1.1% | -30.9% | 0.15 | 0.03 | 1.4x | 66 | 9% |
| ROC 모멘텀 n=100, threshold=-0.03 |
-0.2% | -71.9% | 0.11 | -0.00 | 0.9x | 333 | 60% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.9% | -79.5% | 0.04 | -0.02 | 0.6x | 251 | 52% |
| MACD fast=17, slow=22, signal=14 |
-8.6% | -95.9% | -0.25 | -0.09 | 0.1x | 493 | 51% |
| Buy and hold | 1.5% | -96.5% | 0.22 | 0.02 | 1.6x | 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 42-day average price crosses above the 89-day average
- Sell — Sell (to cash) when the 42-day average falls below the 89-day average