Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Trevi Finanziaria Industriale S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Trevi Finanziaria Industriale S.p.A.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.5%, MDD -52.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.8%, drawdown -99.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -60.0%, Sharpe 0.47, 31% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 24.4%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR 5.5%, MDD -52.4%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=111, exitN=62 |
9.6% | -60.0% | 0.47 | 0.16 | 12.1x | 24 | 31% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=17, mult=3.8 |
6.9% | -53.2% | 0.39 | 0.13 | 6.1x | 44 | 21% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
5.5% | -52.4% | 0.35 | 0.10 | 4.2x | 36 | 11% |
| EMA 크로스오버 fast=29, slow=187 |
5.8% | -69.4% | 0.35 | 0.08 | 4.6x | 28 | 35% |
| ROC 모멘텀 n=149, threshold=0.09 |
5.3% | -79.9% | 0.33 | 0.07 | 4.1x | 112 | 33% |
| Supertrend period=20, mult=4.5 |
2.5% | -95.3% | 0.23 | 0.03 | 2.0x | 88 | 43% |
| SMA 크로스오버 fast=22, slow=168 |
2.3% | -88.0% | 0.22 | 0.03 | 1.8x | 50 | 40% |
| Parabolic SAR step=0.015, maxStep=0.16 |
0.4% | -93.9% | 0.18 | 0.00 | 1.1x | 435 | 45% |
| MACD fast=19, slow=28, signal=17 |
-2.1% | -95.8% | 0.15 | -0.02 | 0.6x | 315 | 51% |
| ADX / DI 방향성 period=24, threshold=11 |
-1.3% | -98.2% | 0.14 | -0.01 | 0.7x | 321 | 47% |
| Buy and hold | -14.8% | -99.9% | -0.03 | -0.15 | 0.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 111 days
- Sell — Sell when price breaks below the lowest low of the last 62 days