Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Acea S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Acea S.p.A.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.4%, MDD -28.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.4%, drawdown -86.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -32.7%, Sharpe 0.59, 25% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.2%, MDD -50.1%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 53.9%p (CAGR 4.4%, MDD -28.2%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=117, exitN=18 |
7.2% | -32.7% | 0.59 | 0.22 | 6.6x | 54 | 25% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=8, mult=2.3 |
7.2% | -34.9% | 0.56 | 0.21 | 6.5x | 100 | 29% |
| 볼린저 밴드 돌파 n=23, k=2.6 |
5.6% | -32.3% | 0.50 | 0.17 | 4.4x | 110 | 20% |
| SMA 크로스오버 fast=49, slow=196 |
7.2% | -50.1% | 0.48 | 0.14 | 6.6x | 28 | 51% |
| EMA 크로스오버 fast=64, slow=198 |
6.2% | -44.2% | 0.42 | 0.14 | 5.0x | 24 | 50% |
| ADX / DI 방향성 period=21, threshold=23 |
4.4% | -28.2% | 0.40 | 0.15 | 3.2x | 124 | 20% |
| Supertrend period=20, mult=4.7 |
5.4% | -66.8% | 0.37 | 0.08 | 4.1x | 74 | 51% |
| ROC 모멘텀 n=123, threshold=-0.03 |
5.0% | -62.4% | 0.35 | 0.08 | 3.8x | 206 | 57% |
| Parabolic SAR step=0.01, maxStep=0.3 |
0.7% | -77.3% | 0.13 | 0.01 | 1.2x | 377 | 53% |
| MACD fast=17, slow=55, signal=24 |
-0.6% | -79.0% | 0.07 | -0.01 | 0.8x | 269 | 51% |
| Buy and hold | 2.4% | -86.7% | 0.22 | 0.03 | 1.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 117 days
- Sell — Sell when price breaks below the lowest low of the last 18 days