Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Technogym S.p.A backtest
10 trend-following strategies were compared on the full daily history of Technogym S.p.A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.1%, MDD -37.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.7%, drawdown -53.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.1%, MDD -37.9%, Sharpe 0.67, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 15.7%p (CAGR 14.1%, MDD -37.9%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=9, slow=135 |
14.1% | -37.9% | 0.67 | 0.37 | 3.9x | 34 | 63% |
| EMA 크로스오버 fast=15, slow=168 |
13.7% | -41.1% | 0.65 | 0.33 | 3.7x | 18 | 66% |
| Donchian 채널 돌파 entryN=79, exitN=78 |
12.1% | -42.9% | 0.60 | 0.28 | 3.2x | 12 | 66% |
| ROC 모멘텀 n=147, threshold=0.09 |
11.7% | -44.3% | 0.59 | 0.26 | 3.1x | 68 | 54% |
| Supertrend period=12, mult=3.1 |
9.2% | -46.0% | 0.48 | 0.20 | 2.5x | 60 | 58% |
| Parabolic SAR step=0.005, maxStep=0.44 |
8.8% | -41.2% | 0.47 | 0.21 | 2.4x | 80 | 55% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=29, mult=1.5 |
8.2% | -34.7% | 0.47 | 0.24 | 2.2x | 52 | 54% |
| 볼린저 밴드 돌파 n=48, k=0.7 |
7.3% | -28.9% | 0.43 | 0.25 | 2.1x | 76 | 52% |
| MACD fast=16, slow=55, signal=9 |
7.2% | -38.4% | 0.42 | 0.19 | 2.0x | 140 | 48% |
| ADX / DI 방향성 period=33, threshold=33 |
1.4% | -7.5% | 0.37 | 0.18 | 1.2x | 2 | 2% |
| Buy and hold | 13.7% | -53.6% | 0.55 | 0.26 | 3.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 9-day average price crosses above the 135-day average
- Sell — Sell (to cash) when the 9-day average falls below the 135-day average