Trend-Following Backtester · Guide · backtest 한국어
equity · IT
FinecoBank SpA backtest
10 trend-following strategies were compared on the full daily history of FinecoBank SpA. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.8%, drawdown -44.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.7%, MDD -43.4%, Sharpe 0.63, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.09 |
15.7% | -43.4% | 0.63 | 0.36 | 5.8x | 15 | 100% |
| SMA 크로스오버 fast=17, slow=133 |
10.3% | -39.8% | 0.56 | 0.26 | 3.3x | 33 | 63% |
| EMA 크로스오버 fast=23, slow=87 |
10.2% | -32.9% | 0.55 | 0.31 | 3.2x | 35 | 65% |
| Donchian 채널 돌파 entryN=25, exitN=25 |
9.3% | -41.7% | 0.53 | 0.22 | 2.9x | 51 | 59% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=1.3 |
6.3% | -33.4% | 0.42 | 0.19 | 2.1x | 85 | 51% |
| Parabolic SAR step=0.02, maxStep=0.36 |
6.1% | -46.3% | 0.39 | 0.13 | 2.1x | 264 | 54% |
| Supertrend period=12, mult=3.5 |
6.3% | -42.8% | 0.39 | 0.15 | 2.1x | 65 | 60% |
| 볼린저 밴드 돌파 n=53, k=1.9 |
4.6% | -34.6% | 0.35 | 0.13 | 1.7x | 55 | 41% |
| ADX / DI 방향성 period=26, threshold=37 |
0.6% | -7.4% | 0.26 | 0.08 | 1.1x | 2 | 1% |
| MACD fast=17, slow=47, signal=14 |
2.8% | -54.1% | 0.24 | 0.05 | 1.4x | 151 | 51% |
| Buy and hold | 15.8% | -44.1% | 0.62 | 0.36 | 5.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -9%
- Sell — Sell when the 1-day return drops to -9% or below