Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Mediobanca - Banca di Credito Finanziario S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Mediobanca - Banca di Credito Finanziario S.p.A.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.2%, MDD -59.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.1%, drawdown -86.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -62.8%, Sharpe 0.41, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 23.5%p (CAGR 5.2%, MDD -59.0%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=64, slow=129 |
7.0% | -62.8% | 0.41 | 0.11 | 14.2x | 73 | 54% |
| Donchian 채널 돌파 entryN=87, exitN=68 |
5.2% | -59.0% | 0.35 | 0.09 | 7.4x | 53 | 50% |
| Parabolic SAR step=0.01, maxStep=0.2 |
3.7% | -72.9% | 0.27 | 0.05 | 4.2x | 532 | 51% |
| EMA 크로스오버 fast=96, slow=225 |
3.4% | -61.6% | 0.26 | 0.05 | 3.7x | 29 | 55% |
| ADX / DI 방향성 period=9, threshold=39 |
1.9% | -49.5% | 0.23 | 0.04 | 2.1x | 192 | 11% |
| MACD fast=18, slow=44, signal=20 |
2.6% | -72.2% | 0.22 | 0.04 | 2.7x | 414 | 50% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=26, mult=2.4 |
2.1% | -47.8% | 0.21 | 0.04 | 2.2x | 209 | 23% |
| Supertrend period=29, mult=4.2 |
2.1% | -57.5% | 0.20 | 0.04 | 2.3x | 203 | 51% |
| 볼린저 밴드 돌파 n=20, k=1.7 |
1.9% | -78.1% | 0.19 | 0.02 | 2.1x | 425 | 34% |
| ROC 모멘텀 n=92, threshold=0 |
1.7% | -68.6% | 0.18 | 0.02 | 1.9x | 403 | 53% |
| Buy and hold | 3.1% | -86.2% | 0.26 | 0.04 | 3.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 64-day average price crosses above the 129-day average
- Sell — Sell (to cash) when the 64-day average falls below the 129-day average