Trend-Following Backtester · Guide · backtest 한국어
equity · IT
F.I.L.A. - Fabbrica Italiana Lapis ed Affini S.p.A. backtest
10 trend-following strategies were compared on the full daily history of F.I.L.A. - Fabbrica Italiana Lapis ed Affini S.p.A.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.4%, MDD -11.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.1%, drawdown -69.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.3%, MDD -32.4%, Sharpe 0.26, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 0.4%, MDD -11.0%, exposure 2%).
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=52, slow=183 |
3.3% | -32.4% | 0.26 | 0.10 | 1.5x | 14 | 50% |
| ADX / DI 방향성 period=13, threshold=36 |
1.9% | -14.3% | 0.26 | 0.13 | 1.3x | 26 | 7% |
| Donchian 채널 돌파 entryN=72, exitN=86 |
2.8% | -31.7% | 0.24 | 0.09 | 1.4x | 14 | 50% |
| EMA 크로스오버 fast=56, slow=186 |
1.5% | -45.9% | 0.17 | 0.03 | 1.2x | 16 | 47% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=28, mult=3.9 |
0.4% | -11.0% | 0.10 | 0.03 | 1.0x | 6 | 2% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
0.4% | -14.9% | 0.09 | 0.02 | 1.0x | 8 | 6% |
| Supertrend period=29, mult=5 |
-1.2% | -48.9% | 0.04 | -0.02 | 0.9x | 29 | 52% |
| ROC 모멘텀 n=146, threshold=-0.02 |
-2.0% | -52.2% | 0.01 | -0.04 | 0.8x | 106 | 54% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-6.5% | -72.8% | -0.21 | -0.09 | 0.4x | 96 | 51% |
| MACD fast=19, slow=51, signal=14 |
-10.6% | -75.6% | -0.43 | -0.14 | 0.2x | 169 | 50% |
| Buy and hold | 0.1% | -69.7% | 0.15 | 0.00 | 1.0x | 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 52-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 52-day average falls below the 183-day average