Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Credito Emiliano S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Credito Emiliano S.p.A.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.8%, MDD -45.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.8%, drawdown -85.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.7%, MDD -67.4%, Sharpe 0.55, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 18.4%p (CAGR 10.8%, MDD -45.6%, exposure 59%).
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=69, exitN=106 |
11.7% | -67.4% | 0.55 | 0.17 | 32.5x | 29 | 63% |
| SMA 크로스오버 fast=8, slow=180 |
10.8% | -45.6% | 0.53 | 0.24 | 24.9x | 59 | 59% |
| EMA 크로스오버 fast=24, slow=144 |
9.5% | -58.4% | 0.49 | 0.16 | 17.1x | 49 | 59% |
| Supertrend period=19, mult=3.5 |
6.3% | -61.1% | 0.37 | 0.10 | 6.9x | 159 | 57% |
| 볼린저 밴드 돌파 n=51, k=2 |
4.8% | -43.9% | 0.34 | 0.11 | 4.4x | 119 | 34% |
| ROC 모멘텀 n=130, threshold=-0.01 |
4.8% | -76.6% | 0.31 | 0.06 | 4.4x | 191 | 60% |
| Parabolic SAR step=0.005, maxStep=0.38 |
4.8% | -67.8% | 0.31 | 0.07 | 4.4x | 255 | 56% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=13, mult=2.4 |
3.5% | -46.3% | 0.27 | 0.07 | 2.9x | 129 | 33% |
| ADX / DI 방향성 period=50, threshold=15 |
3.0% | -54.7% | 0.26 | 0.05 | 2.5x | 65 | 17% |
| MACD fast=22, slow=58, signal=21 |
0.8% | -71.2% | 0.15 | 0.01 | 1.3x | 294 | 52% |
| Buy and hold | 6.8% | -85.8% | 0.36 | 0.08 | 7.8x | 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 69 days
- Sell — Sell when price breaks below the lowest low of the last 106 days