Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Sofina SA backtest
10 trend-following strategies were compared on the full daily history of Sofina SA. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.9%, MDD -30.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.3%, drawdown -60.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -30.3%, Sharpe 0.59, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 29.9%p (CAGR 8.9%, MDD -30.3%, exposure 68%).
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=52, slow=262 |
8.9% | -30.3% | 0.59 | 0.29 | 9.7x | 24 | 68% |
| EMA 크로스오버 fast=73, slow=161 |
8.7% | -33.8% | 0.58 | 0.26 | 9.3x | 22 | 71% |
| ADX / DI 방향성 period=22, threshold=51 |
0.8% | -4.0% | 0.47 | 0.20 | 1.2x | 2 | 1% |
| Supertrend period=28, mult=4 |
6.2% | -36.8% | 0.46 | 0.17 | 4.9x | 91 | 58% |
| ROC 모멘텀 n=265, threshold=-0.05 |
5.5% | -51.3% | 0.39 | 0.11 | 4.1x | 92 | 75% |
| Donchian 채널 돌파 entryN=108, exitN=77 |
3.7% | -61.0% | 0.31 | 0.06 | 2.6x | 38 | 60% |
| 볼린저 밴드 돌파 n=19, k=3.2 |
0.9% | -12.3% | 0.27 | 0.07 | 1.3x | 16 | 3% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=28, mult=4 |
0.9% | -37.8% | 0.16 | 0.02 | 1.3x | 44 | 14% |
| MACD fast=19, slow=67, signal=17 |
-0.6% | -54.0% | 0.04 | -0.01 | 0.9x | 273 | 52% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.9% | -64.4% | 0.02 | -0.01 | 0.8x | 227 | 56% |
| Buy and hold | 7.3% | -60.3% | 0.41 | 0.12 | 6.4x | 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 52-day average price crosses above the 262-day average
- Sell — Sell (to cash) when the 52-day average falls below the 262-day average