Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Avio SpA backtest
10 trend-following strategies were compared on the full daily history of Avio SpA. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.6%, MDD -37.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.1%, drawdown -63.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -37.7%, Sharpe 0.54, 26% exposure.
CAGR reference leader: Supertrend — CAGR 9.6%, MDD -51.8%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 25.3%p (CAGR 8.6%, MDD -37.7%, exposure 26%).
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=92, exitN=10 |
8.6% | -37.7% | 0.54 | 0.23 | 2.5x | 38 | 26% |
| Supertrend period=14, mult=3.4 |
9.6% | -51.8% | 0.49 | 0.19 | 2.7x | 54 | 56% |
| 볼린저 밴드 돌파 n=55, k=3 |
7.7% | -36.7% | 0.49 | 0.21 | 2.3x | 22 | 26% |
| ADX / DI 방향성 period=38, threshold=23 |
7.0% | -45.6% | 0.48 | 0.15 | 2.1x | 10 | 11% |
| SMA 크로스오버 fast=69, slow=148 |
9.4% | -63.0% | 0.46 | 0.15 | 2.7x | 20 | 51% |
| Parabolic SAR step=0.02, maxStep=0.24 |
8.3% | -55.6% | 0.44 | 0.15 | 2.4x | 216 | 53% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=8, mult=2.6 |
7.0% | -42.5% | 0.43 | 0.16 | 2.1x | 38 | 30% |
| MACD fast=19, slow=97, signal=19 |
6.4% | -54.9% | 0.36 | 0.12 | 2.0x | 104 | 52% |
| EMA 크로스오버 fast=53, slow=181 |
5.6% | -63.0% | 0.33 | 0.09 | 1.8x | 16 | 51% |
| ROC 모멘텀 n=145, threshold=0.14 |
2.6% | -63.0% | 0.22 | 0.04 | 1.3x | 56 | 28% |
| Buy and hold | 10.1% | -63.0% | 0.45 | 0.16 | 2.9x | 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 92 days
- Sell — Sell when price breaks below the lowest low of the last 10 days