Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Tamburi Investment Partners S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Tamburi Investment Partners S.p.A.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.1%, MDD -33.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.6%, drawdown -67.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.1%, MDD -33.1%, Sharpe 0.48, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.7%, MDD -41.0%, exposure 73%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 34.2%p (CAGR 7.1%, MDD -33.1%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=11, slow=177 |
7.1% | -33.1% | 0.48 | 0.21 | 4.1x | 41 | 61% |
| Donchian 채널 돌파 entryN=27, exitN=61 |
7.7% | -41.0% | 0.48 | 0.19 | 4.7x | 47 | 73% |
| 볼린저 밴드 돌파 n=22, k=3.3 |
2.9% | -19.8% | 0.47 | 0.14 | 1.8x | 26 | 8% |
| Supertrend period=24, mult=5 |
6.5% | -39.7% | 0.45 | 0.16 | 3.7x | 49 | 57% |
| SMA 크로스오버 fast=42, slow=205 |
6.3% | -41.5% | 0.42 | 0.15 | 3.5x | 29 | 59% |
| ADX / DI 방향성 period=38, threshold=16 |
4.1% | -24.8% | 0.41 | 0.17 | 2.3x | 72 | 25% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=17, mult=1.6 |
3.4% | -32.3% | 0.30 | 0.11 | 2.0x | 105 | 39% |
| ROC 모멘텀 n=120, threshold=0.1 |
2.0% | -32.7% | 0.22 | 0.06 | 1.5x | 164 | 31% |
| MACD fast=19, slow=58, signal=19 |
1.7% | -54.2% | 0.18 | 0.03 | 1.4x | 202 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
1.3% | -39.9% | 0.16 | 0.03 | 1.3x | 171 | 54% |
| Buy and hold | 7.6% | -67.4% | 0.42 | 0.11 | 4.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 11-day EMA crosses above the 177-day EMA
- Sell — Sell when the 11-day EMA falls below the 177-day EMA