Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Carel Industries SpA backtest
10 trend-following strategies were compared on the full daily history of Carel Industries SpA. 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 16.1%, drawdown -45.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -30.8%, Sharpe 0.52, 51% 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=15, slow=32 |
11.4% | -30.8% | 0.52 | 0.37 | 2.4x | 76 | 51% |
| Donchian 채널 돌파 entryN=4, exitN=68 |
8.7% | -63.5% | 0.40 | 0.14 | 2.0x | 35 | 92% |
| Supertrend period=13, mult=3 |
7.5% | -41.5% | 0.39 | 0.18 | 1.8x | 44 | 58% |
| 볼린저 밴드 돌파 n=37, k=1.6 |
4.9% | -35.5% | 0.32 | 0.14 | 1.5x | 54 | 37% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=1.7 |
3.7% | -41.4% | 0.27 | 0.09 | 1.3x | 42 | 39% |
| EMA 크로스오버 fast=45, slow=102 |
3.5% | -51.5% | 0.26 | 0.07 | 1.3x | 23 | 66% |
| ROC 모멘텀 n=117, threshold=-0.04 |
3.0% | -51.6% | 0.25 | 0.06 | 1.3x | 73 | 67% |
| MACD fast=21, slow=36, signal=16 |
2.8% | -46.0% | 0.23 | 0.06 | 1.3x | 96 | 47% |
| ADX / DI 방향성 period=31, threshold=16 |
2.0% | -42.1% | 0.20 | 0.05 | 1.2x | 54 | 39% |
| Parabolic SAR step=0.035, maxStep=0.18 |
-8.5% | -69.1% | -0.15 | -0.12 | 0.5x | 244 | 51% |
| Buy and hold | 16.1% | -45.1% | 0.56 | 0.36 | 3.4x | 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 15-day average price crosses above the 32-day average
- Sell — Sell (to cash) when the 15-day average falls below the 32-day average