Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Cembre S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Cembre S.p.A.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.9%, MDD -42.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.7%, drawdown -74.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.9%, MDD -42.6%, Sharpe 0.66, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 12.9%, MDD -42.6%, exposure 63%).
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=52, slow=129 |
12.9% | -42.6% | 0.66 | 0.30 | 30.2x | 31 | 63% |
| SMA 크로스오버 fast=30, slow=170 |
12.8% | -53.8% | 0.65 | 0.24 | 29.4x | 43 | 61% |
| ROC 모멘텀 n=131, threshold=-0.09 |
12.0% | -51.6% | 0.57 | 0.23 | 23.9x | 127 | 79% |
| Donchian 채널 돌파 entryN=76, exitN=30 |
9.1% | -41.3% | 0.57 | 0.22 | 11.4x | 56 | 41% |
| 볼린저 밴드 돌파 n=71, k=1.8 |
7.3% | -33.2% | 0.49 | 0.22 | 7.3x | 92 | 39% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=16, mult=2.9 |
6.9% | -30.7% | 0.47 | 0.22 | 6.5x | 78 | 37% |
| Supertrend period=11, mult=4.6 |
8.4% | -50.1% | 0.47 | 0.17 | 9.5x | 74 | 59% |
| ADX / DI 방향성 period=18, threshold=19 |
6.8% | -45.0% | 0.46 | 0.15 | 6.2x | 240 | 36% |
| MACD fast=23, slow=48, signal=23 |
4.0% | -58.4% | 0.29 | 0.07 | 3.0x | 242 | 51% |
| Parabolic SAR step=0.005, maxStep=0.4 |
3.5% | -61.8% | 0.26 | 0.06 | 2.6x | 210 | 54% |
| Buy and hold | 11.7% | -74.5% | 0.52 | 0.16 | 22.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 129-day EMA
- Sell — Sell when the 52-day EMA falls below the 129-day EMA