Trend-Following Backtester · Guide · backtest 한국어
equity · IT
El.En. S.p.A. backtest
10 trend-following strategies were compared on the full daily history of El.En. S.p.A.. 7 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.4%, MDD -41.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 9.4%, drawdown -76.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 13.1%, MDD -42.8%, Sharpe 0.62, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 10.4%, MDD -41.9%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.2 |
13.1% | -42.8% | 0.62 | 0.31 | 23.6x | 316 | 48% |
| EMA 크로스오버 fast=12, slow=26 |
12.8% | -47.6% | 0.60 | 0.27 | 21.9x | 202 | 54% |
| Donchian 채널 돌파 entryN=64, exitN=99 |
13.0% | -48.4% | 0.59 | 0.27 | 22.9x | 31 | 66% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=15, mult=3.4 |
9.2% | -45.6% | 0.55 | 0.20 | 9.6x | 60 | 31% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
10.4% | -41.9% | 0.55 | 0.25 | 12.5x | 142 | 44% |
| Supertrend period=9, mult=2.4 |
11.3% | -57.7% | 0.55 | 0.20 | 15.5x | 190 | 52% |
| ROC 모멘텀 n=90, threshold=-0.07 |
11.3% | -59.2% | 0.52 | 0.19 | 15.5x | 171 | 72% |
| SMA 크로스오버 fast=44, slow=187 |
10.2% | -67.7% | 0.51 | 0.15 | 12.1x | 37 | 58% |
| MACD fast=17, slow=22, signal=12 |
8.8% | -56.9% | 0.46 | 0.16 | 8.7x | 394 | 49% |
| ADX / DI 방향성 period=24, threshold=12 |
8.5% | -62.8% | 0.45 | 0.13 | 8.0x | 296 | 53% |
| Buy and hold | 9.4% | -76.5% | 0.43 | 0.12 | 10.0x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots