Trend-Following Backtester · Guide · backtest 한국어
equity · IT
TXT e-solutions S.p.A. backtest
10 trend-following strategies were compared on the full daily history of TXT e-solutions 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 Donchian 채널 돌파 (CAGR 11.3%, MDD -54.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.4%, drawdown -96.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -54.6%, Sharpe 0.55, 42% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 11.3%, MDD -54.6%, exposure 42%).
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=81, exitN=73 |
11.3% | -54.6% | 0.55 | 0.21 | 16.6x | 31 | 42% |
| Supertrend period=12, mult=2.3 |
10.9% | -74.7% | 0.48 | 0.15 | 14.8x | 195 | 46% |
| EMA 크로스오버 fast=10, slow=134 |
9.7% | -57.8% | 0.47 | 0.17 | 11.1x | 89 | 48% |
| SMA 크로스오버 fast=7, slow=179 |
9.6% | -62.9% | 0.47 | 0.15 | 11.1x | 73 | 49% |
| Parabolic SAR step=0.015, maxStep=0.18 |
10.6% | -75.9% | 0.47 | 0.14 | 14.0x | 398 | 47% |
| 볼린저 밴드 돌파 n=65, k=3.4 |
6.8% | -56.6% | 0.44 | 0.12 | 5.5x | 32 | 19% |
| ROC 모멘텀 n=138, threshold=0.09 |
8.4% | -62.1% | 0.44 | 0.14 | 8.2x | 151 | 40% |
| MACD fast=17, slow=35, signal=16 |
8.2% | -81.7% | 0.40 | 0.10 | 7.8x | 300 | 48% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=22, mult=1.3 |
7.4% | -79.1% | 0.40 | 0.09 | 6.5x | 220 | 24% |
| ADX / DI 방향성 period=21, threshold=14 |
5.2% | -90.5% | 0.31 | 0.06 | 3.7x | 291 | 48% |
| Buy and hold | 4.4% | -96.7% | 0.31 | 0.05 | 3.1x | 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 81 days
- Sell — Sell when price breaks below the lowest low of the last 73 days