Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Carrefour SA backtest
10 trend-following strategies were compared on the full daily history of Carrefour SA. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -6.4%, drawdown -87.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.6%, MDD -31.8%, Sharpe 0.11, 38% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 55.4%p (CAGR 0.0%, MDD -0.5%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=61, slow=212 |
0.6% | -31.8% | 0.11 | 0.02 | 1.2x | 25 | 38% |
| ADX / DI 방향성 period=41, threshold=28 |
0.0% | -0.5% | 0.06 | 0.02 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=86, slow=233 |
-0.8% | -45.3% | 0.02 | -0.02 | 0.8x | 23 | 37% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=26, mult=3.7 |
-0.6% | -24.5% | -0.08 | -0.02 | 0.9x | 24 | 4% |
| Donchian 채널 돌파 entryN=63, exitN=27 |
-3.3% | -67.9% | -0.17 | -0.05 | 0.4x | 70 | 30% |
| 볼린저 밴드 돌파 n=14, k=2.8 |
-1.1% | -28.4% | -0.23 | -0.04 | 0.7x | 44 | 4% |
| ROC 모멘텀 n=133, threshold=0.07 |
-4.3% | -73.1% | -0.27 | -0.06 | 0.3x | 173 | 27% |
| Supertrend period=10, mult=4.4 |
-6.8% | -88.3% | -0.28 | -0.08 | 0.2x | 106 | 49% |
| MACD fast=22, slow=51, signal=21 |
-10.4% | -95.6% | -0.45 | -0.11 | 0.1x | 276 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-11.2% | -96.1% | -0.51 | -0.12 | 0.0x | 234 | 50% |
| Buy and hold | -6.4% | -87.3% | -0.08 | -0.07 | 0.2x | 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 61-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 61-day average falls below the 212-day average