Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Tesmec S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Tesmec S.p.A.. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.8%, MDD -28.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.9%, drawdown -89.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.3%, MDD -58.3%, Sharpe 0.47, 28% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 30.8%p (CAGR 2.8%, MDD -28.9%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=18, mult=1.5 |
9.3% | -58.3% | 0.47 | 0.16 | 4.2x | 68 | 28% |
| Donchian 채널 돌파 entryN=107, exitN=15 |
7.7% | -63.7% | 0.46 | 0.12 | 3.3x | 24 | 18% |
| 볼린저 밴드 돌파 n=25, k=2 |
8.4% | -71.0% | 0.44 | 0.12 | 3.6x | 96 | 24% |
| ROC 모멘텀 n=111, threshold=0.08 |
7.2% | -69.9% | 0.41 | 0.10 | 3.1x | 103 | 29% |
| EMA 크로스오버 fast=46, slow=201 |
7.3% | -65.9% | 0.41 | 0.11 | 3.1x | 23 | 34% |
| SMA 크로스오버 fast=34, slow=207 |
7.1% | -57.4% | 0.39 | 0.12 | 3.0x | 23 | 40% |
| ADX / DI 방향성 period=15, threshold=41 |
2.8% | -28.9% | 0.28 | 0.10 | 1.6x | 22 | 4% |
| Supertrend period=26, mult=2.3 |
3.9% | -73.8% | 0.27 | 0.05 | 1.9x | 116 | 46% |
| MACD fast=15, slow=34, signal=24 |
0.8% | -89.8% | 0.17 | 0.01 | 1.1x | 188 | 49% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-3.5% | -89.4% | 0.02 | -0.04 | 0.6x | 324 | 47% |
| Buy and hold | 0.9% | -89.1% | 0.22 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 44-day average + 1.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 44-day average