Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Reply S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Reply S.p.A.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.9%, MDD -43.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.8%, drawdown -65.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.4%, MDD -53.0%, Sharpe 0.76, 61% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 15.5%, MDD -44.0%, exposure 63%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 12.5%p (CAGR 14.9%, MDD -43.5%, exposure 66%).
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=38, slow=142 |
15.4% | -53.0% | 0.76 | 0.29 | 39.4x | 35 | 61% |
| EMA 크로스오버 fast=57, slow=173 |
15.5% | -44.0% | 0.75 | 0.35 | 40.0x | 24 | 63% |
| Donchian 채널 돌파 entryN=55, exitN=80 |
14.9% | -43.5% | 0.72 | 0.34 | 35.0x | 29 | 66% |
| 볼린저 밴드 돌파 n=77, k=3.2 |
7.6% | -30.0% | 0.65 | 0.25 | 6.5x | 26 | 22% |
| Supertrend period=9, mult=3.8 |
10.8% | -49.8% | 0.58 | 0.22 | 14.0x | 93 | 57% |
| ROC 모멘텀 n=154, threshold=-0.04 |
11.5% | -56.5% | 0.58 | 0.20 | 16.3x | 142 | 69% |
| ADX / DI 방향성 period=27, threshold=21 |
6.0% | -28.3% | 0.53 | 0.21 | 4.4x | 86 | 20% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=23, mult=4 |
4.4% | -27.5% | 0.43 | 0.16 | 3.0x | 42 | 19% |
| Parabolic SAR step=0.005, maxStep=0.3 |
3.9% | -69.4% | 0.28 | 0.06 | 2.6x | 205 | 55% |
| MACD fast=28, slow=49, signal=19 |
1.4% | -64.4% | 0.17 | 0.02 | 1.4x | 247 | 50% |
| Buy and hold | 13.8% | -65.6% | 0.57 | 0.21 | 27.3x | 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 38-day average price crosses above the 142-day average
- Sell — Sell (to cash) when the 38-day average falls below the 142-day average