Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Esprinet S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Esprinet S.p.A.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.4%, MDD -21.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.5%, drawdown -89.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.4%, MDD -21.9%, Sharpe 0.78, 13% exposure.
CAGR reference leader: Supertrend — CAGR 16.3%, MDD -68.2%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 67.7%p (CAGR 9.4%, MDD -21.9%, exposure 13%).
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=49, k=3.5 |
9.4% | -21.9% | 0.78 | 0.43 | 9.5x | 20 | 13% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=19, mult=4 |
12.7% | -38.4% | 0.76 | 0.33 | 20.3x | 42 | 22% |
| ADX / DI 방향성 period=36, threshold=17 |
13.8% | -44.9% | 0.74 | 0.31 | 25.5x | 86 | 26% |
| Donchian 채널 돌파 entryN=117, exitN=39 |
13.9% | -49.3% | 0.73 | 0.28 | 26.0x | 31 | 31% |
| Supertrend period=14, mult=5 |
16.3% | -68.2% | 0.66 | 0.24 | 44.5x | 59 | 57% |
| EMA 크로스오버 fast=3, slow=90 |
13.1% | -65.4% | 0.59 | 0.20 | 21.8x | 167 | 52% |
| ROC 모멘텀 n=85, threshold=0.13 |
10.0% | -59.1% | 0.53 | 0.17 | 11.0x | 167 | 34% |
| Parabolic SAR step=0.01, maxStep=0.38 |
10.6% | -72.6% | 0.50 | 0.15 | 12.7x | 314 | 53% |
| SMA 크로스오버 fast=23, slow=204 |
10.2% | -74.8% | 0.49 | 0.14 | 11.5x | 49 | 50% |
| MACD fast=12, slow=56, signal=19 |
5.5% | -73.6% | 0.33 | 0.07 | 3.8x | 280 | 52% |
| Buy and hold | 6.5% | -89.7% | 0.36 | 0.07 | 4.9x | 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 49-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 49-day middle average