Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Banca Generali S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Banca Generali S.p.A.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.5%, MDD -32.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.5%, drawdown -83.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.5%, MDD -32.2%, Sharpe 0.72, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 51.3%p (CAGR 14.5%, MDD -32.2%, exposure 61%).
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=25, slow=84 |
14.5% | -32.2% | 0.72 | 0.45 | 14.4x | 43 | 61% |
| ROC 모멘텀 n=103, threshold=-0.01 |
14.0% | -38.9% | 0.70 | 0.36 | 13.2x | 99 | 60% |
| Donchian 채널 돌파 entryN=96, exitN=77 |
13.3% | -34.9% | 0.70 | 0.38 | 11.6x | 25 | 55% |
| SMA 크로스오버 fast=11, slow=145 |
12.9% | -35.5% | 0.66 | 0.36 | 10.8x | 39 | 59% |
| Supertrend period=20, mult=4.4 |
11.1% | -40.1% | 0.59 | 0.28 | 7.9x | 73 | 58% |
| 볼린저 밴드 돌파 n=57, k=1.2 |
8.3% | -29.5% | 0.51 | 0.28 | 4.8x | 111 | 48% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=20, mult=1.7 |
6.6% | -35.8% | 0.47 | 0.19 | 3.5x | 144 | 35% |
| ADX / DI 방향성 period=22, threshold=31 |
4.0% | -24.8% | 0.44 | 0.16 | 2.2x | 26 | 7% |
| MACD fast=24, slow=52, signal=17 |
4.3% | -53.3% | 0.30 | 0.08 | 2.3x | 200 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.8% | -55.1% | 0.28 | 0.07 | 2.1x | 169 | 57% |
| Buy and hold | 10.5% | -83.5% | 0.47 | 0.13 | 7.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 84-day EMA
- Sell — Sell when the 25-day EMA falls below the 84-day EMA