Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Iren S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Iren S.p.A.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.7%, MDD -13.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.1%, drawdown -92.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.7%, MDD -13.6%, Sharpe 0.46, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.3%, MDD -47.4%, exposure 57%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 79.0%p (CAGR 2.7%, MDD -13.6%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=12, mult=2.3 |
2.7% | -13.6% | 0.46 | 0.20 | 2.1x | 14 | 2% |
| SMA 크로스오버 fast=40, slow=147 |
6.3% | -47.4% | 0.41 | 0.13 | 5.1x | 44 | 57% |
| Supertrend period=9, mult=5 |
4.8% | -48.8% | 0.33 | 0.10 | 3.4x | 74 | 52% |
| Donchian 채널 돌파 entryN=35, exitN=64 |
5.3% | -50.9% | 0.32 | 0.10 | 3.9x | 57 | 65% |
| Parabolic SAR step=0.01, maxStep=0.18 |
5.3% | -59.9% | 0.32 | 0.09 | 3.9x | 361 | 53% |
| ROC 모멘텀 n=104, threshold=-0.03 |
4.2% | -51.7% | 0.31 | 0.08 | 3.0x | 216 | 63% |
| EMA 크로스오버 fast=53, slow=82 |
3.3% | -49.8% | 0.26 | 0.07 | 2.4x | 54 | 58% |
| 볼린저 밴드 돌파 n=26, k=2.5 |
3.1% | -41.3% | 0.25 | 0.08 | 2.3x | 102 | 18% |
| ADX / DI 방향성 period=38, threshold=37 |
0.5% | -0.5% | 0.24 | 1.08 | 1.2x | 2 | 0% |
| MACD fast=19, slow=35, signal=24 |
-0.3% | -80.7% | 0.09 | -0.00 | 0.9x | 277 | 51% |
| Buy and hold | 3.1% | -92.6% | 0.25 | 0.03 | 2.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 7-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average