Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Sanlorenzo S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Sanlorenzo S.p.A.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.1%, MDD -34.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.3%, drawdown -44.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.3%, MDD -12.9%, Sharpe 0.77, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.1%, MDD -34.1%, exposure 53%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p lower than buy and hold, while drawdown improves by 31.4%p (CAGR 15.1%, MDD -34.1%, exposure 53%).
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=16, threshold=30 |
9.3% | -12.9% | 0.77 | 0.72 | 1.8x | 20 | 13% |
| 볼린저 밴드 돌파 n=40, k=3.3 |
7.2% | -15.4% | 0.70 | 0.46 | 1.6x | 4 | 9% |
| SMA 크로스오버 fast=23, slow=168 |
15.1% | -34.1% | 0.69 | 0.44 | 2.5x | 13 | 53% |
| ROC 모멘텀 n=99, threshold=0.07 |
11.3% | -28.3% | 0.60 | 0.40 | 2.0x | 45 | 42% |
| Donchian 채널 돌파 entryN=78, exitN=39 |
11.0% | -27.4% | 0.59 | 0.40 | 2.0x | 9 | 42% |
| Supertrend period=12, mult=4 |
12.4% | -38.3% | 0.58 | 0.32 | 2.2x | 21 | 62% |
| EMA 크로스오버 fast=65, slow=89 |
10.9% | -38.6% | 0.53 | 0.28 | 2.0x | 11 | 55% |
| Keltner 채널 돌파 emaPeriod=84, atrPeriod=9, mult=3.5 |
7.6% | -37.2% | 0.49 | 0.20 | 1.6x | 13 | 31% |
| Parabolic SAR step=0.025, maxStep=0.2 |
6.6% | -56.4% | 0.38 | 0.12 | 1.5x | 163 | 52% |
| MACD fast=23, slow=64, signal=23 |
6.1% | -44.9% | 0.37 | 0.14 | 1.5x | 52 | 51% |
| Buy and hold | 14.3% | -44.2% | 0.56 | 0.32 | 2.4x | 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, 16-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)