Trend-Following Backtester · Guide · backtest 한국어
equity · IT
ANIMA Holding S.p.A. backtest
10 trend-following strategies were compared on the full daily history of ANIMA Holding S.p.A.. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.3%, MDD -16.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.8%, drawdown -77.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.1%, MDD -17.9%, Sharpe 0.54, 13% exposure.
CAGR reference leader: Supertrend — CAGR 9.2%, MDD -43.8%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 59.5%p (CAGR 5.3%, MDD -16.6%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=37, mult=3.9 |
5.1% | -17.9% | 0.54 | 0.28 | 1.8x | 16 | 13% |
| ADX / DI 방향성 period=22, threshold=24 |
5.3% | -16.6% | 0.53 | 0.32 | 1.9x | 38 | 14% |
| Supertrend period=21, mult=4.7 |
9.2% | -43.8% | 0.52 | 0.21 | 3.0x | 35 | 53% |
| SMA 크로스오버 fast=34, slow=82 |
7.3% | -48.1% | 0.43 | 0.15 | 2.4x | 37 | 56% |
| Donchian 채널 돌파 entryN=29, exitN=70 |
7.9% | -46.1% | 0.43 | 0.17 | 2.5x | 29 | 71% |
| ROC 모멘텀 n=81, threshold=-0.04 |
6.4% | -48.5% | 0.39 | 0.13 | 2.1x | 99 | 63% |
| EMA 크로스오버 fast=5, slow=124 |
4.5% | -46.8% | 0.31 | 0.10 | 1.7x | 61 | 54% |
| 볼린저 밴드 돌파 n=30, k=3.3 |
1.0% | -9.0% | 0.31 | 0.11 | 1.1x | 6 | 5% |
| MACD fast=23, slow=39, signal=19 |
-0.1% | -49.7% | 0.11 | -0.00 | 1.0x | 130 | 50% |
| Parabolic SAR step=0.035, maxStep=0.38 |
-4.7% | -74.2% | -0.09 | -0.06 | 0.6x | 360 | 54% |
| Buy and hold | 4.8% | -77.4% | 0.31 | 0.06 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 32-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 32-day average