Trend-Following Backtester · Guide · backtest 한국어

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Banca IFIS S.p.A. backtest

10 trend-following strategies were compared on the full daily history of Banca IFIS S.p.A.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.8%, MDD -65.0%).

Data 1995-06-26 ~ 2026-07-31daily bars 7,970 (31.1 years)Costs 0.5%Venue MILMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 10.6%, drawdown -88.3%).

Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.8%, MDD -65.0%, Sharpe 0.65, 57% exposure.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 14.8%, MDD -65.0%, exposure 57%).

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
EMA 크로스오버
fast=36, slow=213
14.8%-65.0%0.650.2373.8x3657%
Donchian 채널 돌파
entryN=103, exitN=71
12.5%-69.5%0.580.1839.0x4051%
SMA 크로스오버
fast=56, slow=182
12.2%-74.2%0.560.1636.3x4657%
ADX / DI 방향성
period=25, threshold=18
7.9%-34.7%0.480.2310.8x17426%
볼린저 밴드 돌파
n=43, k=1.8
7.1%-55.8%0.420.138.4x16035%
ROC 모멘텀
n=148, threshold=-0.04
8.1%-91.2%0.420.0911.3x23064%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=20, mult=3.8
6.1%-52.5%0.390.126.3x9429%
MACD
fast=6, slow=23, signal=8
6.5%-95.9%0.200.077.0x80949%
Supertrend
period=15, mult=4.8
-2.3%-91.2%0.16-0.030.5x16050%
Parabolic SAR
step=0.025, maxStep=0.34
-6.4%-91.4%0.02-0.070.1x65551%
Buy and hold10.6%-88.3%0.300.1222.7x1100%
1x 10x 1996 2000 2004 2008 2012 2016 2020 2024 EMA 크로스오버Buy and hold
EMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -66% -88% 1996 2000 2004 2008 2012 2016 2020 2024 Buy and holdEMA 크로스오버
EMA 크로스오버 maximum drawdown -65.0% (2000-11-13 → 2012-05-09), recovered after 4,785 days.

Rules of the top strategy

Uses two exponential averages (more weight on recent prices) and trades their crossover.

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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