Trend-Following Backtester · Guide · backtest 한국어

equity · IT

ERG S.p.A. backtest

10 trend-following strategies were compared on the full daily history of ERG 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 ADX / DI 방향성 (CAGR 5.0%, MDD -23.9%).

Data 1998-07-10 ~ 2026-07-31daily bars 7,175 (28.1 years)Costs 0.5%Venue MILMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 6.5%, drawdown -82.7%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.0%, MDD -23.9%, Sharpe 0.60, 8% exposure.

CAGR reference leader: Supertrend — CAGR 6.7%, MDD -64.7%, exposure 47%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 58.7%p (CAGR 5.0%, MDD -23.9%, exposure 8%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=62, threshold=18
5.0%-23.9%0.600.213.9x148%
Supertrend
period=25, mult=5
6.7%-64.7%0.430.106.2x6247%
EMA 크로스오버
fast=41, slow=117
6.0%-68.3%0.370.095.1x4955%
SMA 크로스오버
fast=26, slow=193
5.6%-69.9%0.360.084.6x5556%
Keltner 채널 돌파
emaPeriod=51, atrPeriod=18, mult=4
3.6%-45.1%0.350.082.7x4617%
Donchian 채널 돌파
entryN=78, exitN=19
4.2%-41.2%0.340.103.2x7830%
ROC 모멘텀
n=166, threshold=0.11
3.8%-47.3%0.300.082.9x19437%
볼린저 밴드 돌파
n=42, k=2.8
2.8%-40.2%0.280.072.2x6419%
MACD
fast=26, slow=73, signal=17
0.7%-72.3%0.130.011.2x27451%
Parabolic SAR
step=0.005, maxStep=0.26
0.0%-70.4%0.110.001.0x25252%
Buy and hold6.5%-82.7%0.360.085.9x1100%
1x 1999 2003 2007 2011 2015 2019 2023 SupertrendADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -21% -41% -62% -83% 1999 2003 2007 2011 2015 2019 2023 Buy and holdSupertrendADX / DI 방향성
ADX / DI 방향성 maximum drawdown -23.9% (2005-10-03 → 2015-01-29), recovered after 4,546 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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