Trend-Following Backtester · Guide · backtest 한국어
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Leonardo SpA backtest
10 trend-following strategies were compared on the full daily history of Leonardo SpA. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.5%, MDD -23.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.8%, drawdown -87.8%).
Sharpe leader (same as main): MACD — CAGR 12.8%, MDD -48.7%, Sharpe 0.60, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 6.5%, MDD -23.9%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=14, slow=58, signal=30 |
12.8% | -48.7% | 0.60 | 0.26 | 12.7x | 181 | 51% |
| 볼린저 밴드 돌파 n=40, k=3.1 |
6.5% | -23.9% | 0.56 | 0.27 | 3.8x | 38 | 16% |
| Donchian 채널 돌파 entryN=85, exitN=78 |
11.2% | -45.0% | 0.55 | 0.25 | 9.3x | 28 | 55% |
| ROC 모멘텀 n=109, threshold=-0.04 |
10.5% | -57.4% | 0.51 | 0.18 | 8.2x | 190 | 62% |
| SMA 크로스오버 fast=19, slow=232 |
9.3% | -54.1% | 0.48 | 0.17 | 6.4x | 30 | 56% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=21, mult=3.7 |
5.4% | -32.0% | 0.46 | 0.17 | 3.0x | 44 | 15% |
| Parabolic SAR step=0.005, maxStep=0.3 |
8.3% | -58.6% | 0.45 | 0.14 | 5.3x | 181 | 51% |
| EMA 크로스오버 fast=49, slow=105 |
8.1% | -56.9% | 0.43 | 0.14 | 5.2x | 36 | 57% |
| Supertrend period=15, mult=2.5 |
7.5% | -38.8% | 0.41 | 0.19 | 4.6x | 186 | 53% |
| ADX / DI 방향성 period=32, threshold=26 |
1.7% | -19.4% | 0.24 | 0.09 | 1.4x | 24 | 5% |
| Buy and hold | 6.8% | -87.8% | 0.36 | 0.08 | 4.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (14/58) crosses above its 30-day signal line
- Sell — Sell when the MACD line crosses back below the signal line