Trend-Following Backtester · Guide · backtest 한국어
equity · PT
Jeronimo Martins, SGPS S.A. backtest
10 trend-following strategies were compared on the full daily history of Jeronimo Martins, SGPS S.A.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.3%, MDD -36.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.8%, drawdown -78.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.2%, MDD -49.7%, Sharpe 0.45, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.3%, MDD -36.5%, exposure 76%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 8.3%, MDD -36.5%, exposure 76%).
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=50, slow=280 |
8.2% | -49.7% | 0.45 | 0.16 | 8.1x | 18 | 65% |
| ROC 모멘텀 n=184, threshold=-0.11 |
8.3% | -36.5% | 0.45 | 0.23 | 8.4x | 86 | 76% |
| SMA 크로스오버 fast=18, slow=167 |
6.3% | -41.2% | 0.39 | 0.15 | 5.0x | 64 | 60% |
| 볼린저 밴드 돌파 n=53, k=2.9 |
3.9% | -25.6% | 0.36 | 0.15 | 2.7x | 46 | 19% |
| Donchian 채널 돌파 entryN=100, exitN=47 |
4.5% | -47.3% | 0.33 | 0.09 | 3.2x | 44 | 46% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=18, mult=3.7 |
2.4% | -33.2% | 0.25 | 0.07 | 1.9x | 60 | 19% |
| Supertrend period=8, mult=4.4 |
1.7% | -53.8% | 0.18 | 0.03 | 1.6x | 108 | 52% |
| ADX / DI 방향성 period=22, threshold=31 |
0.9% | -28.2% | 0.16 | 0.03 | 1.3x | 38 | 7% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-2.9% | -82.0% | -0.04 | -0.04 | 0.5x | 211 | 51% |
| MACD fast=22, slow=48, signal=14 |
-4.0% | -81.0% | -0.09 | -0.05 | 0.3x | 319 | 53% |
| Buy and hold | 4.8% | -78.6% | 0.30 | 0.06 | 3.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 280-day EMA
- Sell — Sell when the 50-day EMA falls below the 280-day EMA