Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Prysmian S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Prysmian S.p.A.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.1%, MDD -35.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.2%, drawdown -71.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.1%, MDD -35.7%, Sharpe 0.53, 71% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 35.5%p (CAGR 11.1%, MDD -35.7%, exposure 71%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=59, exitN=92 |
11.1% | -35.7% | 0.53 | 0.31 | 7.6x | 21 | 71% |
| SMA 크로스오버 fast=51, slow=108 |
7.5% | -44.0% | 0.41 | 0.17 | 4.0x | 45 | 60% |
| EMA 크로스오버 fast=56, slow=175 |
7.4% | -46.9% | 0.41 | 0.16 | 4.0x | 27 | 67% |
| 볼린저 밴드 돌파 n=33, k=2.7 |
4.6% | -31.6% | 0.40 | 0.14 | 2.4x | 60 | 21% |
| ROC 모멘텀 n=118, threshold=-0.04 |
5.2% | -57.8% | 0.33 | 0.09 | 2.7x | 123 | 70% |
| Parabolic SAR step=0.005, maxStep=0.04 |
4.9% | -57.2% | 0.32 | 0.09 | 2.5x | 152 | 56% |
| Supertrend period=25, mult=3.3 |
3.6% | -54.1% | 0.27 | 0.07 | 2.0x | 114 | 56% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=9, mult=3.9 |
1.7% | -30.4% | 0.23 | 0.06 | 1.4x | 22 | 9% |
| ADX / DI 방향성 period=27, threshold=30 |
0.9% | -17.3% | 0.21 | 0.05 | 1.2x | 8 | 2% |
| MACD fast=19, slow=39, signal=16 |
0.6% | -70.6% | 0.14 | 0.01 | 1.1x | 240 | 52% |
| Buy and hold | 11.2% | -71.2% | 0.47 | 0.16 | 7.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 59 days
- Sell — Sell when price breaks below the lowest low of the last 92 days