Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Christian Dior SE backtest
10 trend-following strategies were compared on the full daily history of Christian Dior SE. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.4%, MDD -44.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.3%, drawdown -69.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -49.9%, Sharpe 0.67, 60% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.7%, MDD -51.8%, exposure 77%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 11.4%, MDD -44.8%, exposure 62%).
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=23, slow=108 |
12.7% | -49.9% | 0.67 | 0.25 | 61.5x | 88 | 60% |
| Donchian 채널 돌파 entryN=20, exitN=62 |
13.7% | -51.8% | 0.64 | 0.27 | 84.9x | 79 | 77% |
| EMA 크로스오버 fast=48, slow=55 |
11.4% | -44.8% | 0.62 | 0.25 | 41.6x | 88 | 62% |
| Supertrend period=24, mult=5 |
9.3% | -57.4% | 0.53 | 0.16 | 21.4x | 100 | 57% |
| ROC 모멘텀 n=115, threshold=0.04 |
7.9% | -47.6% | 0.49 | 0.17 | 14.0x | 240 | 54% |
| 볼린저 밴드 돌파 n=44, k=2.4 |
5.3% | -41.7% | 0.44 | 0.13 | 5.9x | 118 | 29% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=1.6 |
5.4% | -41.3% | 0.38 | 0.13 | 6.0x | 220 | 47% |
| MACD fast=17, slow=56, signal=16 |
4.9% | -62.8% | 0.33 | 0.08 | 5.3x | 368 | 52% |
| ADX / DI 방향성 period=24, threshold=17 |
3.4% | -33.1% | 0.30 | 0.10 | 3.2x | 250 | 28% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.1% | -65.7% | 0.10 | -0.00 | 1.0x | 592 | 55% |
| Buy and hold | 10.3% | -69.9% | 0.47 | 0.15 | 29.4x | 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 23-day average price crosses above the 108-day average
- Sell — Sell (to cash) when the 23-day average falls below the 108-day average