Trend-Following Backtester · Guide · backtest 한국어

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Buzzi Spa backtest

10 trend-following strategies were compared on the full daily history of Buzzi Spa. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.1%, MDD -45.7%).

Data 1987-07-01 ~ 2026-07-31daily bars 10,052 (39.1 years)Costs 0.5%Venue MILMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 5.7%, drawdown -78.5%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.1%, MDD -45.7%, Sharpe 0.35, 41% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 32.8%p (CAGR 5.1%, MDD -45.7%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=55, atrPeriod=23, mult=1.8
5.1%-45.7%0.350.117.1x21641%
볼린저 밴드 돌파
n=26, k=3.4
1.9%-20.4%0.340.092.1x305%
SMA 크로스오버
fast=33, slow=130
5.1%-62.2%0.330.086.9x8256%
Supertrend
period=27, mult=3.2
4.7%-56.7%0.310.086.0x31855%
EMA 크로스오버
fast=37, slow=96
4.6%-51.9%0.310.095.9x8457%
Donchian 채널 돌파
entryN=19, exitN=122
5.0%-71.0%0.310.076.7x8884%
MACD
fast=17, slow=49, signal=16
4.2%-64.5%0.290.075.0x43450%
ROC 모멘텀
n=133, threshold=-0.05
3.3%-69.5%0.250.053.5x26266%
ADX / DI 방향성
period=34, threshold=37
0.3%-16.5%0.150.021.1x21%
Parabolic SAR
step=0.015, maxStep=0.26
-0.1%-92.7%0.11-0.001.0x68052%
Buy and hold5.7%-78.5%0.330.078.8x1100%
1x 10x 1988 1993 1998 2003 2008 2013 2018 2023 Keltner 채널 돌파Buy and hold
Keltner 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -39% -59% -79% 1988 1993 1998 2003 2008 2013 2018 2023 Buy and holdKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -45.7% (2015-08-17 → 2022-11-08), recovered after 3,145 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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