Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Capgemini SE backtest
10 trend-following strategies were compared on the full daily history of Capgemini SE. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -3.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.4%, drawdown -96.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.0%, MDD -46.8%, Sharpe 0.29, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 49.5%p (CAGR 0.2%, MDD -3.6%, exposure 1%).
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=48, slow=242 |
4.0% | -46.8% | 0.29 | 0.09 | 2.8x | 26 | 53% |
| ROC 모멘텀 n=114, threshold=-0.1 |
3.7% | -60.5% | 0.27 | 0.06 | 2.6x | 181 | 71% |
| Donchian 채널 돌파 entryN=117, exitN=28 |
2.4% | -40.4% | 0.23 | 0.06 | 1.9x | 52 | 29% |
| SMA 크로스오버 fast=26, slow=150 |
2.5% | -53.6% | 0.22 | 0.05 | 1.9x | 70 | 55% |
| Supertrend period=23, mult=3.6 |
0.9% | -66.8% | 0.16 | 0.01 | 1.3x | 147 | 55% |
| ADX / DI 방향성 period=21, threshold=39 |
0.2% | -3.6% | 0.14 | 0.05 | 1.1x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=16, mult=2.9 |
0.6% | -42.0% | 0.12 | 0.02 | 1.2x | 86 | 34% |
| 볼린저 밴드 돌파 n=52, k=2.4 |
-0.3% | -40.3% | 0.06 | -0.01 | 0.9x | 80 | 25% |
| MACD fast=14, slow=49, signal=17 |
-7.2% | -90.2% | -0.15 | -0.08 | 0.1x | 345 | 51% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-7.6% | -93.9% | -0.18 | -0.08 | 0.1x | 247 | 53% |
| Buy and hold | -3.4% | -96.3% | 0.11 | -0.04 | 0.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 242-day EMA
- Sell — Sell when the 48-day EMA falls below the 242-day EMA