Trend-Following Backtester · Guide · backtest 한국어

equity · BE

Proximus SA backtest

10 trend-following strategies were compared on the full daily history of Proximus SA. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -6.2%).

Data 2004-03-22 ~ 2026-07-31daily bars 5,731 (22.4 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR -6.0%, drawdown -86.6%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.1%, MDD -27.9%, Sharpe 0.17, 13% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 58.7%p (CAGR 0.2%, MDD -6.2%, exposure 0%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=50, threshold=13
1.1%-27.9%0.170.041.3x5213%
볼린저 밴드 돌파
n=39, k=3.4
0.6%-14.5%0.150.041.1x145%
Keltner 채널 돌파
emaPeriod=40, atrPeriod=24, mult=3.1
0.9%-23.4%0.150.041.2x4416%
ROC 모멘텀
n=9, threshold=0.13
0.2%-6.2%0.120.041.1x120%
SMA 크로스오버
fast=35, slow=126
0.7%-48.9%0.120.011.2x4641%
Donchian 채널 돌파
entryN=55, exitN=57
0.0%-44.3%0.080.001.0x4044%
EMA 크로스오버
fast=57, slow=110
-0.5%-46.0%0.04-0.010.9x3840%
Supertrend
period=27, mult=4.9
-4.6%-78.8%-0.21-0.060.4x6441%
MACD
fast=30, slow=58, signal=12
-10.8%-95.3%-0.57-0.110.1x23152%
Parabolic SAR
step=0.015, maxStep=0.12
-13.1%-97.3%-0.77-0.130.0x40950%
Buy and hold-6.0%-86.6%-0.13-0.070.2x1100%
1x 2005 2008 2011 2014 2017 2020 2023 2026 ADX / DI 방향성Buy and hold
ADX / DI 방향성: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -43% -65% -87% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and holdADX / DI 방향성
ADX / DI 방향성 maximum drawdown -27.9% (2005-04-13 → 2014-10-15), recovered after 6,760 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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