Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Prada S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Prada S.p.A.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 35.4%, MDD -46.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 32.5%, drawdown -76.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -45.3%, Sharpe 0.30, 40% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 35.4%, MDD -46.2%, exposure 49%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 27.9%p lower than buy and hold, while drawdown improves by 31.3%p (CAGR 35.4%, MDD -46.2%, exposure 49%).
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=26, slow=100 |
4.5% | -45.3% | 0.30 | 0.10 | 2.3x | 41 | 40% |
| 볼린저 밴드 돌파 n=132, k=2 |
3.5% | -41.5% | 0.27 | 0.09 | 1.9x | 18 | 26% |
| EMA 크로스오버 fast=22, slow=155 |
3.4% | -43.8% | 0.26 | 0.08 | 1.9x | 26 | 44% |
| Donchian 채널 돌파 entryN=86, exitN=78 |
35.4% | -46.2% | 0.23 | 0.77 | 292.4x | 20 | 49% |
| ROC 모멘텀 n=93, threshold=-0.01 |
28.9% | -71.6% | 0.23 | 0.40 | 117.4x | 160 | 53% |
| MACD fast=15, slow=56, signal=18 |
22.6% | -80.9% | 0.23 | 0.28 | 45.6x | 172 | 49% |
| Supertrend period=31, mult=4 |
2.4% | -63.0% | 0.22 | 0.04 | 1.6x | 51 | 51% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=11, mult=2.7 |
0.5% | -39.8% | 0.10 | 0.01 | 1.1x | 34 | 17% |
| ADX / DI 방향성 period=48, threshold=11 |
-1.5% | -65.6% | 0.04 | -0.02 | 0.7x | 91 | 33% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-8.7% | -88.0% | -0.21 | -0.10 | 0.2x | 258 | 48% |
| Buy and hold | 32.5% | -76.6% | 0.23 | 0.42 | 195.7x | 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 26-day average price crosses above the 100-day average
- Sell — Sell (to cash) when the 26-day average falls below the 100-day average