Trend-Following Backtester · Guide · backtest 한국어
equity · IT
ENAV S.p.A. backtest
10 trend-following strategies were compared on the full daily history of ENAV S.p.A.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 2.7%, MDD -30.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.1%, drawdown -52.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.1%, MDD -5.6%, Sharpe 0.34, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.7%, MDD -41.5%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: MACD — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 47.2%p (CAGR 2.7%, MDD -30.1%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=2.9 |
1.1% | -5.6% | 0.34 | 0.20 | 1.1x | 6 | 1% |
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.11 |
4.7% | -41.5% | 0.31 | 0.11 | 1.6x | 13 | 99% |
| SMA 크로스오버 fast=63, slow=128 |
3.5% | -44.5% | 0.28 | 0.08 | 1.4x | 19 | 60% |
| MACD fast=16, slow=26, signal=14 |
2.7% | -30.1% | 0.24 | 0.09 | 1.3x | 129 | 49% |
| Supertrend period=29, mult=2.2 |
2.1% | -35.3% | 0.20 | 0.06 | 1.2x | 88 | 55% |
| Donchian 채널 돌파 entryN=79, exitN=55 |
1.1% | -45.3% | 0.15 | 0.02 | 1.1x | 14 | 49% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-0.8% | -34.0% | 0.03 | -0.02 | 0.9x | 218 | 53% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=19, mult=3.9 |
-0.2% | -9.1% | -0.02 | -0.02 | 1.0x | 8 | 4% |
| ADX / DI 방향성 period=25, threshold=19 |
-1.0% | -29.9% | -0.08 | -0.03 | 0.9x | 46 | 18% |
| EMA 크로스오버 fast=42, slow=106 |
-2.9% | -64.2% | -0.08 | -0.04 | 0.7x | 24 | 62% |
| Buy and hold | 3.1% | -52.8% | 0.25 | 0.06 | 1.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 11-day middle average