Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Interpump Group S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Interpump Group S.p.A.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.0%, MDD -50.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.5%, drawdown -77.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.1%, MDD -43.5%, Sharpe 0.45, 47% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.0%, MDD -50.0%, exposure 59%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 33.8%p (CAGR 8.0%, MDD -50.0%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=99, exitN=64 |
7.1% | -43.5% | 0.45 | 0.16 | 7.8x | 40 | 47% |
| SMA 크로스오버 fast=43, slow=102 |
8.0% | -50.0% | 0.45 | 0.16 | 9.8x | 85 | 59% |
| Supertrend period=23, mult=4.9 |
4.7% | -49.4% | 0.32 | 0.10 | 3.9x | 87 | 60% |
| ROC 모멘텀 n=101, threshold=0.1 |
4.2% | -63.0% | 0.32 | 0.07 | 3.4x | 246 | 37% |
| MACD fast=13, slow=63, signal=36 |
4.3% | -49.1% | 0.30 | 0.09 | 3.5x | 247 | 52% |
| EMA 크로스오버 fast=28, slow=95 |
4.0% | -61.5% | 0.29 | 0.06 | 3.2x | 87 | 60% |
| ADX / DI 방향성 period=38, threshold=32 |
0.6% | -9.2% | 0.23 | 0.07 | 1.2x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.1 |
2.5% | -59.9% | 0.22 | 0.04 | 2.1x | 243 | 55% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=4 |
1.7% | -41.2% | 0.19 | 0.04 | 1.6x | 56 | 20% |
| 볼린저 밴드 돌파 n=53, k=1.8 |
1.3% | -62.8% | 0.16 | 0.02 | 1.5x | 145 | 38% |
| Buy and hold | 9.5% | -77.3% | 0.45 | 0.12 | 14.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 99 days
- Sell — Sell when price breaks below the lowest low of the last 64 days