Trend-Following Backtester · Guide · backtest 한국어
equity · IT
SeSa S.p.A. backtest
10 trend-following strategies were compared on the full daily history of SeSa S.p.A.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.4%, MDD -43.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.0%, drawdown -70.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.0%, MDD -18.9%, Sharpe 0.85, 17% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 12.4%, MDD -43.6%, exposure 61%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.0%p lower than buy and hold, while drawdown improves by 51.2%p (CAGR 12.4%, MDD -43.6%, exposure 61%).
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=45, threshold=18 |
10.0% | -18.9% | 0.85 | 0.53 | 4.2x | 18 | 17% |
| EMA 크로스오버 fast=13, slow=37 |
12.4% | -43.6% | 0.67 | 0.28 | 5.8x | 92 | 61% |
| Supertrend period=11, mult=3.9 |
11.5% | -51.2% | 0.66 | 0.22 | 5.1x | 56 | 59% |
| Donchian 채널 돌파 entryN=60, exitN=39 |
10.4% | -61.3% | 0.61 | 0.17 | 4.5x | 30 | 61% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=2.2 |
9.0% | -47.0% | 0.60 | 0.19 | 3.7x | 58 | 40% |
| ROC 모멘텀 n=178, threshold=0.04 |
10.6% | -51.5% | 0.57 | 0.20 | 4.6x | 109 | 54% |
| 볼린저 밴드 돌파 n=44, k=1.5 |
8.5% | -47.0% | 0.56 | 0.18 | 3.4x | 92 | 43% |
| SMA 크로스오버 fast=19, slow=150 |
10.2% | -60.7% | 0.56 | 0.17 | 4.3x | 33 | 64% |
| MACD fast=15, slow=58, signal=19 |
9.2% | -44.4% | 0.54 | 0.21 | 3.8x | 162 | 51% |
| Parabolic SAR step=0.045, maxStep=0.14 |
5.0% | -56.1% | 0.34 | 0.09 | 2.1x | 439 | 52% |
| Buy and hold | 16.0% | -70.0% | 0.66 | 0.23 | 9.4x | 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, 45-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)