Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Piaggio & C. S.p.a. backtest
10 trend-following strategies were compared on the full daily history of Piaggio & C. S.p.a.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.7%, MDD -5.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.2%, drawdown -76.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.1%, MDD -49.1%, Sharpe 0.37, 46% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 27.6%p (CAGR 0.7%, MDD -5.8%, exposure 1%).
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=46, slow=114 |
6.1% | -49.1% | 0.37 | 0.12 | 3.3x | 41 | 46% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=20, mult=3.4 |
3.4% | -33.1% | 0.33 | 0.10 | 1.9x | 29 | 14% |
| EMA 크로스오버 fast=35, slow=135 |
4.4% | -53.2% | 0.31 | 0.08 | 2.4x | 33 | 44% |
| 볼린저 밴드 돌파 n=12, k=3 |
0.7% | -5.8% | 0.28 | 0.11 | 1.1x | 4 | 1% |
| ADX / DI 방향성 period=27, threshold=29 |
1.4% | -13.1% | 0.25 | 0.11 | 1.3x | 18 | 4% |
| Donchian 채널 돌파 entryN=40, exitN=71 |
3.1% | -48.6% | 0.25 | 0.06 | 1.9x | 39 | 57% |
| Supertrend period=11, mult=5 |
2.4% | -62.4% | 0.22 | 0.04 | 1.6x | 49 | 48% |
| ROC 모멘텀 n=120, threshold=0.11 |
1.4% | -63.4% | 0.17 | 0.02 | 1.3x | 153 | 31% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.1% | -69.0% | -0.05 | -0.06 | 0.4x | 173 | 51% |
| MACD fast=14, slow=46, signal=17 |
-7.2% | -87.4% | -0.19 | -0.08 | 0.2x | 249 | 49% |
| Buy and hold | -1.2% | -76.8% | 0.14 | -0.02 | 0.8x | 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 46-day average price crosses above the 114-day average
- Sell — Sell (to cash) when the 46-day average falls below the 114-day average