Trend-Following Backtester · Guide · backtest 한국어
equity · PL
MODIVO SA backtest
10 trend-following strategies were compared on the full daily history of MODIVO SA. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.9%, MDD -35.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.5%, drawdown -91.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.5%, MDD -53.9%, Sharpe 0.88, 62% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.1%p higher than buy and hold, while drawdown improves by 38.0%p (CAGR 16.9%, MDD -35.1%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=165, threshold=-0.04 |
24.5% | -53.9% | 0.88 | 0.46 | 118.0x | 82 | 62% |
| EMA 크로스오버 fast=50, slow=91 |
22.8% | -46.6% | 0.86 | 0.49 | 86.3x | 24 | 58% |
| SMA 크로스오버 fast=17, slow=180 |
21.1% | -45.9% | 0.82 | 0.46 | 64.5x | 32 | 57% |
| Donchian 채널 돌파 entryN=77, exitN=40 |
17.0% | -43.5% | 0.75 | 0.39 | 30.4x | 39 | 43% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=1.9 |
16.9% | -35.1% | 0.74 | 0.48 | 30.0x | 94 | 43% |
| 볼린저 밴드 돌파 n=50, k=1.1 |
15.2% | -45.6% | 0.67 | 0.33 | 21.7x | 128 | 46% |
| Supertrend period=11, mult=4.1 |
15.7% | -67.8% | 0.63 | 0.23 | 23.8x | 85 | 57% |
| ADX / DI 방향성 period=39, threshold=13 |
11.5% | -49.0% | 0.57 | 0.23 | 10.6x | 120 | 34% |
| Parabolic SAR step=0.01, maxStep=0.28 |
12.6% | -62.4% | 0.53 | 0.20 | 13.2x | 258 | 52% |
| MACD fast=16, slow=22, signal=18 |
10.6% | -67.1% | 0.48 | 0.16 | 9.0x | 298 | 49% |
| Buy and hold | 10.5% | -91.9% | 0.44 | 0.11 | 8.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 165-day return is greater than -4%
- Sell — Sell when the 165-day return drops to -4% or below