Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Telecom Italia S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Telecom Italia S.p.A.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.1%, MDD -72.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.8%, drawdown -97.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.1%, MDD -72.5%, Sharpe 0.49, 28% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 7.1%, MDD -72.5%, exposure 28%).
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=88, exitN=27 |
7.1% | -72.5% | 0.49 | 0.10 | 14.9x | 92 | 28% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=23, mult=2.4 |
4.9% | -80.2% | 0.37 | 0.06 | 6.5x | 184 | 25% |
| 볼린저 밴드 돌파 n=41, k=1.4 |
5.3% | -87.7% | 0.36 | 0.06 | 7.7x | 242 | 37% |
| ADX / DI 방향성 period=19, threshold=38 |
1.9% | -16.2% | 0.32 | 0.12 | 2.1x | 32 | 4% |
| Supertrend period=19, mult=5 |
3.6% | -94.8% | 0.27 | 0.04 | 4.1x | 152 | 50% |
| EMA 크로스오버 fast=14, slow=170 |
3.5% | -90.2% | 0.27 | 0.04 | 3.9x | 103 | 47% |
| SMA 크로스오버 fast=14, slow=208 |
3.1% | -91.9% | 0.25 | 0.03 | 3.3x | 97 | 49% |
| ROC 모멘텀 n=104, threshold=0.1 |
2.1% | -87.6% | 0.21 | 0.02 | 2.3x | 289 | 31% |
| MACD fast=20, slow=73, signal=13 |
0.5% | -97.3% | 0.14 | 0.01 | 1.2x | 444 | 52% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.4% | -97.5% | 0.13 | 0.00 | 1.2x | 336 | 49% |
| Buy and hold | 2.8% | -97.2% | 0.25 | 0.03 | 3.0x | 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 88 days
- Sell — Sell when price breaks below the lowest low of the last 27 days