Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Rai Way SpA backtest
10 trend-following strategies were compared on the full daily history of Rai Way SpA. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.2%, MDD -9.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.5%, drawdown -42.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -9.0%, Sharpe 0.48, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.8%, MDD -38.8%, exposure 83%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 33.4%p (CAGR 3.2%, MDD -9.0%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=13, threshold=38 |
3.2% | -9.0% | 0.48 | 0.35 | 1.4x | 30 | 7% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=18, mult=3.1 |
2.0% | -10.6% | 0.34 | 0.19 | 1.3x | 10 | 5% |
| Donchian 채널 돌파 entryN=7, exitN=61 |
4.8% | -38.8% | 0.32 | 0.12 | 1.7x | 36 | 83% |
| ROC 모멘텀 n=53, threshold=0.23 |
0.9% | -8.6% | 0.19 | 0.11 | 1.1x | 20 | 3% |
| 볼린저 밴드 돌파 n=17, k=3.4 |
0.9% | -13.5% | 0.19 | 0.07 | 1.1x | 8 | 4% |
| Supertrend period=27, mult=4.4 |
1.6% | -32.2% | 0.18 | 0.05 | 1.2x | 32 | 52% |
| MACD fast=19, slow=38, signal=18 |
-0.0% | -47.7% | 0.08 | -0.00 | 1.0x | 121 | 47% |
| EMA 크로스오버 fast=22, slow=50 |
-0.4% | -43.1% | 0.06 | -0.01 | 1.0x | 56 | 54% |
| SMA 크로스오버 fast=25, slow=44 |
-0.6% | -34.0% | 0.05 | -0.02 | 0.9x | 80 | 50% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-2.4% | -49.9% | -0.05 | -0.05 | 0.7x | 243 | 50% |
| Buy and hold | 3.5% | -42.4% | 0.26 | 0.08 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 13-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)