Trend-Following Backtester · Guide · backtest 한국어
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Banca Mediolanum SpA backtest
10 trend-following strategies were compared on the full daily history of Banca Mediolanum SpA. 4 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 4.3%, MDD -41.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.2%, drawdown -89.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.3%, MDD -41.1%, Sharpe 0.33, 41% exposure.
CAGR reference leader: Supertrend — CAGR 4.5%, MDD -48.6%, exposure 58%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 48.3%p (CAGR 4.3%, MDD -41.1%, exposure 41%).
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=118, exitN=64 |
4.3% | -41.1% | 0.33 | 0.11 | 3.1x | 35 | 41% |
| 볼린저 밴드 돌파 n=15, k=3 |
1.9% | -27.3% | 0.32 | 0.07 | 1.7x | 30 | 4% |
| SMA 크로스오버 fast=22, slow=111 |
4.4% | -53.1% | 0.30 | 0.08 | 3.1x | 73 | 55% |
| Supertrend period=20, mult=4.2 |
4.5% | -48.6% | 0.30 | 0.09 | 3.2x | 105 | 58% |
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=22, mult=1.8 |
1.0% | -15.6% | 0.23 | 0.06 | 1.3x | 36 | 3% |
| EMA 크로스오버 fast=37, slow=91 |
2.6% | -57.2% | 0.23 | 0.05 | 2.0x | 69 | 53% |
| ROC 모멘텀 n=171, threshold=-0.06 |
1.4% | -73.6% | 0.17 | 0.02 | 1.4x | 153 | 61% |
| MACD fast=25, slow=55, signal=40 |
1.2% | -59.7% | 0.17 | 0.02 | 1.4x | 189 | 52% |
| ADX / DI 방향성 period=10, threshold=38 |
0.8% | -28.8% | 0.13 | 0.03 | 1.3x | 134 | 10% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-5.8% | -94.0% | -0.12 | -0.06 | 0.2x | 620 | 52% |
| Buy and hold | 2.2% | -89.4% | 0.24 | 0.02 | 1.8x | 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 118 days
- Sell — Sell when price breaks below the lowest low of the last 64 days