Trend-Following Backtester · Guide · backtest 한국어
equity · IT
De'Longhi S.p.A. backtest
10 trend-following strategies were compared on the full daily history of De'Longhi S.p.A.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.0%, MDD -55.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.5%, drawdown -81.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.6%, MDD -33.2%, Sharpe 0.57, 18% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.0%, MDD -55.8%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 48.1%p (CAGR 12.0%, MDD -55.8%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=18, threshold=28 |
7.6% | -33.2% | 0.57 | 0.23 | 6.3x | 94 | 18% |
| Donchian 채널 돌파 entryN=62, exitN=74 |
12.0% | -55.8% | 0.57 | 0.21 | 17.0x | 43 | 57% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=3.6 |
8.3% | -38.0% | 0.55 | 0.22 | 7.4x | 57 | 26% |
| SMA 크로스오버 fast=14, slow=94 |
10.4% | -65.0% | 0.52 | 0.16 | 12.1x | 93 | 55% |
| Supertrend period=19, mult=4.8 |
10.2% | -61.2% | 0.51 | 0.17 | 11.4x | 71 | 58% |
| 볼린저 밴드 돌파 n=58, k=1.9 |
7.4% | -40.7% | 0.45 | 0.18 | 6.0x | 93 | 35% |
| EMA 크로스오버 fast=22, slow=88 |
8.7% | -56.6% | 0.45 | 0.15 | 8.1x | 77 | 56% |
| ROC 모멘텀 n=137, threshold=0.03 |
7.0% | -64.9% | 0.39 | 0.11 | 5.5x | 213 | 52% |
| Parabolic SAR step=0.02, maxStep=0.18 |
3.4% | -61.2% | 0.26 | 0.06 | 2.3x | 497 | 53% |
| MACD fast=19, slow=56, signal=20 |
0.6% | -73.6% | 0.15 | 0.01 | 1.2x | 266 | 52% |
| Buy and hold | 10.5% | -81.3% | 0.45 | 0.13 | 12.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 18-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)