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 34.6%, MDD -47.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 32.0%, drawdown -76.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.2%, MDD -45.3%, Sharpe 0.29, 40% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 34.6%, MDD -47.3%, exposure 49%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 27.7%p lower than buy and hold, while drawdown improves by 31.3%p (CAGR 34.6%, MDD -47.3%, 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 |
4.2% | -45.3% | 0.29 | 0.09 | 2.2x | 41 | 40% |
| 볼린저 밴드 돌파 n=132, k=2 |
3.1% | -41.5% | 0.25 | 0.07 | 1.8x | 19 | 26% |
| EMA 크로스오버 fast=22, slow=155 |
2.9% | -44.3% | 0.24 | 0.06 | 1.7x | 27 | 44% |
| Donchian 채널 돌파 entryN=86, exitN=78 |
34.6% | -47.3% | 0.23 | 0.73 | 268.4x | 21 | 49% |
| ROC 모멘텀 n=93, threshold=-0.01 |
28.4% | -73.3% | 0.23 | 0.39 | 110.7x | 161 | 53% |
| MACD fast=15, slow=56, signal=18 |
22.0% | -81.0% | 0.23 | 0.27 | 42.3x | 174 | 49% |
| Supertrend period=31, mult=4 |
2.1% | -63.0% | 0.21 | 0.03 | 1.5x | 51 | 52% |
| 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 |
-1.8% | -65.6% | 0.02 | -0.03 | 0.7x | 92 | 33% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-8.9% | -88.6% | -0.22 | -0.10 | 0.2x | 260 | 48% |
| Buy and hold | 32.0% | -76.6% | 0.23 | 0.42 | 185.5x | 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