Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Pirelli & C. S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Pirelli & C. S.p.A.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.2%, MDD -4.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.2%, drawdown -61.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -36.7%, Sharpe 0.44, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 0.2%, MDD -4.0%, 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=187 |
6.8% | -36.7% | 0.44 | 0.19 | 1.8x | 11 | 48% |
| Supertrend period=25, mult=4.4 |
2.7% | -44.9% | 0.23 | 0.06 | 1.3x | 23 | 50% |
| 볼린저 밴드 돌파 n=59, k=3.4 |
0.7% | -10.2% | 0.18 | 0.07 | 1.1x | 2 | 3% |
| Donchian 채널 돌파 entryN=22, exitN=78 |
0.5% | -40.5% | 0.14 | 0.01 | 1.0x | 23 | 73% |
| EMA 크로스오버 fast=55, slow=197 |
0.2% | -39.6% | 0.10 | 0.00 | 1.0x | 11 | 52% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=10, mult=2.7 |
0.2% | -4.0% | 0.08 | 0.04 | 1.0x | 4 | 1% |
| ROC 모멘텀 n=141, threshold=0.02 |
-0.9% | -40.9% | 0.04 | -0.02 | 0.9x | 65 | 44% |
| ADX / DI 방향성 period=20, threshold=31 |
-0.7% | -14.2% | -0.13 | -0.05 | 0.9x | 8 | 3% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-9.4% | -67.5% | -0.36 | -0.14 | 0.4x | 87 | 53% |
| MACD fast=16, slow=50, signal=17 |
-10.5% | -66.4% | -0.41 | -0.16 | 0.4x | 106 | 51% |
| Buy and hold | 0.2% | -61.5% | 0.17 | 0.00 | 1.0x | 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 187-day average
- Sell — Sell (to cash) when the 46-day average falls below the 187-day average