Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Poste Italiane SpA backtest
10 trend-following strategies were compared on the full daily history of Poste Italiane SpA. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.6%, MDD -19.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.5%, drawdown -46.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.6%, MDD -19.0%, Sharpe 0.98, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 27.6%p (CAGR 16.6%, MDD -19.0%, exposure 65%).
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=56, slow=123 |
16.6% | -19.0% | 0.98 | 0.87 | 5.2x | 17 | 65% |
| 볼린저 밴드 돌파 n=51, k=3.2 |
4.3% | -7.7% | 0.73 | 0.56 | 1.6x | 6 | 10% |
| EMA 크로스오버 fast=30, slow=184 |
11.3% | -37.2% | 0.70 | 0.30 | 3.2x | 13 | 65% |
| ROC 모멘텀 Hold-like · Exposure 99% n=7, threshold=-0.11 |
14.6% | -44.7% | 0.69 | 0.33 | 4.3x | 19 | 99% |
| Donchian 채널 돌파 entryN=65, exitN=65 |
9.3% | -22.5% | 0.62 | 0.42 | 2.6x | 19 | 60% |
| Supertrend period=15, mult=4.8 |
8.3% | -29.4% | 0.60 | 0.28 | 2.4x | 36 | 54% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=8, mult=3.7 |
4.2% | -16.0% | 0.52 | 0.26 | 1.6x | 24 | 19% |
| Parabolic SAR step=0.005, maxStep=0.08 |
5.9% | -42.3% | 0.43 | 0.14 | 1.9x | 92 | 57% |
| ADX / DI 방향성 period=37, threshold=15 |
2.7% | -20.4% | 0.31 | 0.13 | 1.3x | 44 | 26% |
| MACD fast=11, slow=38, signal=10 |
3.3% | -32.5% | 0.28 | 0.10 | 1.4x | 178 | 50% |
| Buy and hold | 13.5% | -46.6% | 0.62 | 0.29 | 3.9x | 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 56-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 56-day average falls below the 123-day average