Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Fincantieri S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Fincantieri S.p.A.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 19.5%, MDD -33.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.3%, drawdown -72.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.8%, MDD -45.3%, Sharpe 0.92, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.5%p higher than buy and hold, while drawdown improves by 27.0%p (CAGR 19.5%, MDD -33.5%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=62, slow=138 |
24.8% | -45.3% | 0.92 | 0.55 | 14.5x | 18 | 48% |
| 볼린저 밴드 돌파 n=57, k=2.9 |
14.9% | -36.8% | 0.85 | 0.40 | 5.3x | 12 | 18% |
| Donchian 채널 돌파 entryN=130, exitN=23 |
16.0% | -39.8% | 0.84 | 0.40 | 6.0x | 22 | 25% |
| ROC 모멘텀 n=112, threshold=0.14 |
17.7% | -39.5% | 0.83 | 0.45 | 7.1x | 60 | 32% |
| ADX / DI 방향성 period=27, threshold=13 |
19.5% | -33.5% | 0.82 | 0.58 | 8.6x | 103 | 40% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=26, mult=3.2 |
14.6% | -42.2% | 0.76 | 0.35 | 5.2x | 32 | 28% |
| Supertrend period=28, mult=5 |
16.3% | -48.8% | 0.71 | 0.33 | 6.2x | 33 | 46% |
| EMA 크로스오버 fast=58, slow=105 |
16.1% | -56.8% | 0.68 | 0.28 | 6.1x | 16 | 47% |
| Parabolic SAR step=0.04, maxStep=0.2 |
7.5% | -64.9% | 0.40 | 0.12 | 2.4x | 363 | 49% |
| MACD fast=29, slow=54, signal=22 |
6.1% | -55.9% | 0.35 | 0.11 | 2.0x | 95 | 48% |
| Buy and hold | 7.3% | -72.3% | 0.37 | 0.10 | 2.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 62-day average price crosses above the 138-day average
- Sell — Sell (to cash) when the 62-day average falls below the 138-day average