Trend-Following Backtester · Guide · backtest 한국어
equity · IT
UniCredit S.p.A. backtest
10 trend-following strategies were compared on the full daily history of UniCredit S.p.A.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -13.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.7%, drawdown -97.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.3%, MDD -55.9%, Sharpe 0.41, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 41.5%p (CAGR 0.5%, MDD -13.4%, exposure 1%).
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=45, slow=211 |
8.3% | -55.9% | 0.41 | 0.15 | 8.3x | 27 | 53% |
| EMA 크로스오버 fast=46, slow=153 |
7.4% | -59.0% | 0.38 | 0.13 | 6.7x | 33 | 53% |
| Donchian 채널 돌파 entryN=111, exitN=71 |
4.3% | -59.4% | 0.29 | 0.07 | 3.1x | 33 | 46% |
| ROC 모멘텀 n=129, threshold=0.01 |
2.6% | -84.1% | 0.24 | 0.03 | 2.0x | 217 | 52% |
| ADX / DI 방향성 period=31, threshold=29 |
0.5% | -13.4% | 0.16 | 0.04 | 1.1x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=125, atrPeriod=14, mult=0.9 |
-0.0% | -88.1% | 0.16 | -0.00 | 1.0x | 147 | 49% |
| Supertrend period=9, mult=5 |
-5.0% | -92.2% | 0.02 | -0.05 | 0.3x | 109 | 45% |
| MACD fast=17, slow=49, signal=19 |
-7.5% | -97.7% | -0.04 | -0.08 | 0.1x | 292 | 50% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-9.4% | -98.9% | -0.10 | -0.09 | 0.1x | 632 | 50% |
| 볼린저 밴드 돌파 n=46, k=1.6 |
-9.0% | -98.3% | -0.16 | -0.09 | 0.1x | 169 | 36% |
| Buy and hold | -1.7% | -97.4% | 0.21 | -0.02 | 0.6x | 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 45-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 45-day average falls below the 211-day average