Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Juventus Football Club S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Juventus Football Club S.p.A.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.1%, MDD -45.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.0%, drawdown -88.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.1%, MDD -45.0%, Sharpe 0.44, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.1%p higher than buy and hold, while drawdown improves by 43.8%p (CAGR 8.1%, MDD -45.0%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=2.4 |
8.1% | -45.0% | 0.44 | 0.18 | 6.8x | 158 | 17% |
| MACD fast=12, slow=18, signal=14 |
5.0% | -63.7% | 0.31 | 0.08 | 3.4x | 404 | 50% |
| Parabolic SAR step=0.015, maxStep=0.24 |
4.8% | -73.2% | 0.30 | 0.07 | 3.1x | 366 | 46% |
| Donchian 채널 돌파 entryN=114, exitN=4 |
3.3% | -61.9% | 0.28 | 0.05 | 2.2x | 40 | 5% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=20, mult=1.7 |
3.7% | -57.2% | 0.27 | 0.06 | 2.4x | 148 | 17% |
| ROC 모멘텀 n=12, threshold=0.07 |
2.8% | -54.1% | 0.23 | 0.05 | 2.0x | 340 | 14% |
| ADX / DI 방향성 period=9, threshold=36 |
2.8% | -54.8% | 0.23 | 0.05 | 2.0x | 212 | 16% |
| SMA 크로스오버 fast=65, slow=210 |
2.6% | -59.5% | 0.23 | 0.04 | 1.9x | 32 | 40% |
| Supertrend period=17, mult=2 |
2.3% | -79.4% | 0.22 | 0.03 | 1.8x | 248 | 44% |
| EMA 크로스오버 fast=54, slow=122 |
0.7% | -73.6% | 0.16 | 0.01 | 1.2x | 34 | 38% |
| Buy and hold | -6.0% | -88.8% | 0.05 | -0.07 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 14-day middle average