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.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -19.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.8%, drawdown -69.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.2%, MDD -32.4%, Sharpe 0.26, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 1.5%, MDD -19.8%, exposure 7%).
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 |
3.2% | -32.4% | 0.26 | 0.10 | 1.5x | 15 | 50% |
| ADX / DI 방향성 period=13, threshold=36 |
1.5% | -19.8% | 0.22 | 0.08 | 1.2x | 27 | 7% |
| Donchian 채널 돌파 entryN=72, exitN=86 |
2.3% | -37.0% | 0.21 | 0.06 | 1.3x | 15 | 50% |
| EMA 크로스오버 fast=56, slow=186 |
1.0% | -45.9% | 0.15 | 0.02 | 1.1x | 17 | 48% |
| Supertrend period=29, mult=5 |
-0.4% | -48.9% | 0.08 | -0.01 | 1.0x | 29 | 52% |
| ROC 모멘텀 n=146, threshold=-0.02 |
-1.8% | -52.3% | 0.02 | -0.03 | 0.8x | 107 | 54% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
-0.1% | -21.2% | 0.02 | -0.00 | 1.0x | 9 | 6% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=28, mult=3.9 |
-0.1% | -15.4% | 0.01 | -0.01 | 1.0x | 7 | 3% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-6.1% | -72.8% | -0.19 | -0.08 | 0.4x | 97 | 52% |
| MACD fast=19, slow=51, signal=14 |
-9.8% | -75.6% | -0.38 | -0.13 | 0.3x | 169 | 50% |
| Buy and hold | 0.8% | -69.7% | 0.18 | 0.01 | 1.1x | 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