Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Davide Campari-Milano N.V. backtest
10 trend-following strategies were compared on the full daily history of Davide Campari-Milano N.V.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.7%, drawdown -61.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.7%, MDD -37.5%, Sharpe 0.53, 67% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=16, slow=345 |
8.7% | -37.5% | 0.53 | 0.23 | 8.1x | 27 | 67% |
| EMA 크로스오버 fast=57, slow=182 |
8.5% | -40.7% | 0.51 | 0.21 | 7.8x | 30 | 69% |
| ROC 모멘텀 n=128, threshold=-0.11 |
7.9% | -49.1% | 0.45 | 0.16 | 6.8x | 97 | 84% |
| Donchian 채널 돌파 entryN=71, exitN=48 |
5.9% | -38.4% | 0.42 | 0.15 | 4.2x | 48 | 53% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=5, mult=2.9 |
3.9% | -28.7% | 0.34 | 0.14 | 2.6x | 72 | 37% |
| Supertrend period=25, mult=3.5 |
4.8% | -50.0% | 0.34 | 0.10 | 3.2x | 105 | 61% |
| ADX / DI 방향성 period=47, threshold=39 |
0.8% | -4.3% | 0.32 | 0.19 | 1.2x | 4 | 1% |
| 볼린저 밴드 돌파 n=58, k=2.5 |
2.5% | -33.4% | 0.25 | 0.07 | 1.8x | 75 | 33% |
| Parabolic SAR step=0.02, maxStep=0.34 |
-5.8% | -95.6% | 0.07 | -0.06 | 0.2x | 542 | 55% |
| MACD fast=9, slow=15, signal=15 |
-5.8% | -96.2% | 0.06 | -0.06 | 0.2x | 572 | 50% |
| Buy and hold | 15.7% | -61.8% | 0.33 | 0.25 | 39.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 16-day average price crosses above the 345-day average
- Sell — Sell (to cash) when the 16-day average falls below the 345-day average