Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Danone SA backtest
10 trend-following strategies were compared on the full daily history of Danone SA. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.8%, drawdown -47.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.0%, MDD -40.2%, Sharpe 0.20, 59% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=43, slow=212 |
2.0% | -40.2% | 0.20 | 0.05 | 2.1x | 56 | 59% |
| SMA 크로스오버 fast=26, slow=119 |
1.7% | -38.8% | 0.18 | 0.04 | 1.9x | 99 | 55% |
| 볼린저 밴드 돌파 n=65, k=2.1 |
1.1% | -30.9% | 0.15 | 0.04 | 1.5x | 105 | 31% |
| Donchian 채널 돌파 entryN=10, exitN=62 |
0.9% | -50.1% | 0.14 | 0.02 | 1.4x | 125 | 85% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=19, mult=3.5 |
0.5% | -34.2% | 0.10 | 0.02 | 1.2x | 94 | 24% |
| Supertrend period=18, mult=4.2 |
-1.2% | -56.6% | 0.01 | -0.02 | 0.6x | 165 | 53% |
| ADX / DI 방향성 period=24, threshold=31 |
-0.6% | -27.1% | -0.11 | -0.02 | 0.8x | 36 | 5% |
| ROC 모멘텀 n=147, threshold=-0.04 |
-4.7% | -85.8% | -0.16 | -0.05 | 0.2x | 370 | 68% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-4.6% | -85.5% | -0.20 | -0.05 | 0.2x | 326 | 54% |
| MACD fast=19, slow=49, signal=18 |
-5.3% | -90.5% | -0.25 | -0.06 | 0.1x | 424 | 50% |
| Buy and hold | 4.8% | -47.2% | 0.31 | 0.10 | 5.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 212-day EMA
- Sell — Sell when the 43-day EMA falls below the 212-day EMA