Trend-Following Backtester · Guide · backtest 한국어
equity · IT
OVS S.p.A. backtest
10 trend-following strategies were compared on the full daily history of OVS S.p.A.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.3%, MDD -24.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.3%, drawdown -90.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.2%, MDD -43.7%, Sharpe 0.76, 58% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.9%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 6.3%, MDD -24.8%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=40, slow=60 |
19.2% | -43.7% | 0.76 | 0.44 | 7.4x | 51 | 58% |
| EMA 크로스오버 fast=19, slow=158 |
14.7% | -38.4% | 0.67 | 0.38 | 4.8x | 17 | 54% |
| Donchian 채널 돌파 entryN=52, exitN=49 |
14.2% | -42.6% | 0.63 | 0.33 | 4.5x | 23 | 57% |
| ROC 모멘텀 n=121, threshold=0.01 |
14.0% | -47.0% | 0.61 | 0.30 | 4.5x | 69 | 57% |
| Supertrend period=10, mult=2.7 |
12.9% | -52.2% | 0.58 | 0.25 | 4.0x | 81 | 54% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=28, mult=0.9 |
11.3% | -39.0% | 0.55 | 0.29 | 3.4x | 79 | 53% |
| ADX / DI 방향성 period=37, threshold=14 |
8.9% | -40.7% | 0.48 | 0.22 | 2.6x | 57 | 39% |
| 볼린저 밴드 돌파 n=55, k=3.2 |
6.3% | -24.8% | 0.45 | 0.26 | 2.0x | 16 | 17% |
| Parabolic SAR step=0.025, maxStep=0.08 |
6.4% | -63.0% | 0.36 | 0.10 | 2.0x | 209 | 54% |
| MACD fast=12, slow=57, signal=17 |
1.5% | -70.3% | 0.19 | 0.02 | 1.2x | 152 | 49% |
| Buy and hold | 4.3% | -90.9% | 0.32 | 0.05 | 1.6x | 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 40-day average price crosses above the 60-day average
- Sell — Sell (to cash) when the 40-day average falls below the 60-day average