Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Givaudan SA backtest
10 trend-following strategies were compared on the full daily history of Givaudan SA. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.4%, drawdown -53.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -23.2%, Sharpe 0.64, 67% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 9.0%, MDD -25.8%, exposure 69%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=7, slow=218 |
8.9% | -23.2% | 0.64 | 0.38 | 9.9x | 37 | 67% |
| EMA 크로스오버 fast=15, slow=194 |
9.0% | -25.8% | 0.64 | 0.35 | 10.2x | 31 | 69% |
| Donchian 채널 돌파 entryN=95, exitN=83 |
7.3% | -34.6% | 0.55 | 0.21 | 6.6x | 27 | 65% |
| ROC 모멘텀 n=125, threshold=-0.02 |
5.6% | -31.5% | 0.43 | 0.18 | 4.3x | 137 | 70% |
| Supertrend period=37, mult=4.6 |
3.8% | -44.4% | 0.33 | 0.09 | 2.7x | 82 | 60% |
| 볼린저 밴드 돌파 n=18, k=3.3 |
6.7% | -8.8% | 0.19 | 0.76 | 5.7x | 16 | 2% |
| MACD fast=19, slow=27, signal=20 |
4.1% | -58.8% | 0.17 | 0.07 | 3.0x | 321 | 51% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=17, mult=1.1 |
2.7% | -71.7% | 0.16 | 0.04 | 2.0x | 251 | 50% |
| Parabolic SAR step=0.01, maxStep=0.18 |
0.7% | -78.6% | 0.14 | 0.01 | 1.2x | 381 | 55% |
| ADX / DI 방향성 period=18, threshold=11 |
-0.7% | -83.7% | 0.12 | -0.01 | 0.8x | 509 | 55% |
| Buy and hold | 14.4% | -53.2% | 0.28 | 0.27 | 37.5x | 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 7-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 7-day average falls below the 218-day average