Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Banco BPM SpA backtest
10 trend-following strategies were compared on the full daily history of Banco BPM SpA. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.0%, MDD -28.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.7%, drawdown -99.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.4%, MDD -54.4%, Sharpe 0.36, 34% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 44.8%p (CAGR 3.0%, MDD -28.4%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=85, slow=428 |
5.4% | -54.4% | 0.36 | 0.10 | 4.1x | 11 | 34% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=10, mult=2.2 |
3.0% | -28.4% | 0.30 | 0.10 | 2.2x | 72 | 7% |
| 볼린저 밴드 돌파 n=13, k=1.9 |
4.1% | -55.3% | 0.30 | 0.07 | 2.9x | 326 | 27% |
| Supertrend period=29, mult=4.1 |
1.3% | -83.4% | 0.17 | 0.02 | 1.4x | 119 | 49% |
| ADX / DI 방향성 period=22, threshold=26 |
1.2% | -41.2% | 0.16 | 0.03 | 1.4x | 62 | 10% |
| SMA 크로스오버 fast=9, slow=153 |
0.7% | -83.3% | 0.15 | 0.01 | 1.2x | 89 | 50% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-0.2% | -80.4% | 0.13 | -0.00 | 0.9x | 363 | 51% |
| MACD fast=9, slow=22, signal=10 |
-1.1% | -88.0% | 0.11 | -0.01 | 0.8x | 552 | 50% |
| ROC 모멘텀 n=126, threshold=0.14 |
0.1% | -81.8% | 0.10 | 0.00 | 1.0x | 203 | 30% |
| Donchian 채널 돌파 entryN=89, exitN=54 |
-1.4% | -87.6% | 0.05 | -0.02 | 0.7x | 45 | 39% |
| Buy and hold | -6.7% | -99.3% | 0.06 | -0.07 | 0.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 85-day EMA crosses above the 428-day EMA
- Sell — Sell when the 85-day EMA falls below the 428-day EMA