Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Danieli & C. Officine Meccaniche S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Danieli & C. Officine Meccaniche S.p.A.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.5%, MDD -48.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 8.0%, drawdown -85.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.8%, MDD -49.1%, Sharpe 0.71, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 36.1%p (CAGR 11.5%, MDD -48.7%, exposure 42%).
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=17, slow=61 |
15.8% | -49.1% | 0.71 | 0.32 | 98.7x | 130 | 52% |
| 볼린저 밴드 돌파 n=58, k=1 |
14.0% | -51.7% | 0.69 | 0.27 | 61.4x | 150 | 45% |
| EMA 크로스오버 fast=25, slow=29 |
14.2% | -58.5% | 0.66 | 0.24 | 63.4x | 144 | 51% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=21, mult=1.4 |
11.5% | -48.7% | 0.60 | 0.24 | 30.8x | 170 | 42% |
| ADX / DI 방향성 period=44, threshold=11 |
10.4% | -50.7% | 0.58 | 0.20 | 22.1x | 201 | 36% |
| Parabolic SAR step=0.005, maxStep=0.32 |
11.3% | -64.5% | 0.56 | 0.18 | 29.1x | 252 | 50% |
| Donchian 채널 돌파 entryN=51, exitN=40 |
11.6% | -55.6% | 0.56 | 0.21 | 31.3x | 73 | 52% |
| Supertrend period=13, mult=3.6 |
10.4% | -55.8% | 0.53 | 0.19 | 22.4x | 140 | 49% |
| MACD fast=22, slow=65, signal=22 |
9.6% | -64.1% | 0.50 | 0.15 | 17.9x | 238 | 50% |
| ROC 모멘텀 n=81, threshold=0 |
7.6% | -79.5% | 0.41 | 0.10 | 10.1x | 323 | 55% |
| Buy and hold | 8.0% | -85.2% | 0.39 | 0.09 | 11.3x | 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 17-day average price crosses above the 61-day average
- Sell — Sell (to cash) when the 17-day average falls below the 61-day average