Trend-Following Backtester · Guide · backtest 한국어
equity · IT
MAIRE S.p.A. backtest
10 trend-following strategies were compared on the full daily history of MAIRE 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 ROC 모멘텀 (CAGR 7.6%, MDD -41.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.1%, drawdown -95.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 18.5%, MDD -55.2%, Sharpe 0.71, 47% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 15.5%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 7.6%, MDD -41.0%, exposure 19%).
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=98, k=0.9 |
18.5% | -55.2% | 0.71 | 0.34 | 24.0x | 54 | 47% |
| EMA 크로스오버 fast=8, slow=49 |
15.9% | -57.2% | 0.61 | 0.28 | 15.7x | 104 | 54% |
| Supertrend period=19, mult=4.5 |
15.6% | -56.9% | 0.61 | 0.27 | 14.9x | 56 | 51% |
| Donchian 채널 돌파 entryN=35, exitN=26 |
14.1% | -55.6% | 0.59 | 0.25 | 11.7x | 60 | 46% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=2.6 |
11.2% | -43.8% | 0.53 | 0.26 | 7.3x | 62 | 35% |
| SMA 크로스오버 fast=26, slow=62 |
11.7% | -74.0% | 0.49 | 0.16 | 7.8x | 74 | 54% |
| ROC 모멘텀 n=14, threshold=0.09 |
7.6% | -41.0% | 0.43 | 0.18 | 3.9x | 344 | 19% |
| ADX / DI 방향성 period=20, threshold=20 |
6.2% | -52.7% | 0.37 | 0.12 | 3.1x | 134 | 26% |
| MACD fast=14, slow=58, signal=11 |
5.1% | -79.2% | 0.31 | 0.06 | 2.5x | 250 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.1% | -71.8% | 0.26 | 0.04 | 1.8x | 316 | 52% |
| Buy and hold | 3.1% | -95.1% | 0.31 | 0.03 | 1.8x | 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 98-day average (0.9× volatility)
- Sell — Sell when the close falls back to the 98-day middle average