Trend-Following Backtester · Guide · backtest 한국어
equity · IT
BPER Banca S.p.A. backtest
10 trend-following strategies were compared on the full daily history of BPER Banca S.p.A.. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.6%, MDD -65.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.5%, drawdown -92.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.4%, MDD -13.9%, Sharpe 0.48, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.6%, MDD -65.7%, exposure 57%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 78.2%p (CAGR 8.6%, MDD -65.7%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=35 |
2.4% | -13.9% | 0.48 | 0.18 | 2.1x | 18 | 11% |
| SMA 크로스오버 fast=59, slow=79 |
8.6% | -65.7% | 0.47 | 0.13 | 13.4x | 115 | 57% |
| Donchian 채널 돌파 entryN=110, exitN=56 |
6.5% | -76.0% | 0.42 | 0.09 | 7.2x | 43 | 45% |
| EMA 크로스오버 fast=58, slow=75 |
7.3% | -80.7% | 0.42 | 0.09 | 9.0x | 55 | 57% |
| 볼린저 밴드 돌파 n=52, k=3.5 |
3.1% | -24.8% | 0.40 | 0.13 | 2.6x | 26 | 14% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=23, mult=3.9 |
4.6% | -58.9% | 0.39 | 0.08 | 4.1x | 91 | 35% |
| ROC 모멘텀 n=112, threshold=0.04 |
6.1% | -72.7% | 0.39 | 0.08 | 6.5x | 223 | 47% |
| Parabolic SAR step=0.01, maxStep=0.24 |
4.2% | -90.5% | 0.29 | 0.05 | 3.6x | 345 | 54% |
| Supertrend period=14, mult=4.9 |
3.8% | -77.2% | 0.28 | 0.05 | 3.2x | 173 | 57% |
| MACD fast=6, slow=52, signal=11 |
1.4% | -88.2% | 0.18 | 0.02 | 1.5x | 578 | 49% |
| Buy and hold | 5.5% | -92.1% | 0.32 | 0.06 | 5.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)