Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Coface SA backtest
10 trend-following strategies were compared on the full daily history of Coface SA. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.5%, MDD -26.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.8%, drawdown -64.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.5%, MDD -26.2%, Sharpe 0.58, 42% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 38.5%p (CAGR 9.5%, MDD -26.2%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=148, threshold=0.09 |
9.5% | -26.2% | 0.58 | 0.36 | 3.0x | 60 | 42% |
| Donchian 채널 돌파 entryN=9, exitN=58 |
6.7% | -40.2% | 0.37 | 0.17 | 2.2x | 43 | 82% |
| Supertrend period=20, mult=2.5 |
4.9% | -32.6% | 0.33 | 0.15 | 1.8x | 101 | 57% |
| SMA 크로스오버 fast=38, slow=184 |
4.4% | -57.7% | 0.30 | 0.08 | 1.7x | 19 | 53% |
| Parabolic SAR step=0.015, maxStep=0.36 |
2.6% | -40.2% | 0.23 | 0.07 | 1.4x | 196 | 53% |
| 볼린저 밴드 돌파 n=22, k=3.1 |
2.0% | -29.5% | 0.23 | 0.07 | 1.3x | 26 | 9% |
| EMA 크로스오버 fast=6, slow=220 |
2.1% | -31.7% | 0.20 | 0.07 | 1.3x | 35 | 56% |
| MACD fast=8, slow=43, signal=17 |
-0.3% | -43.0% | 0.11 | -0.01 | 1.0x | 171 | 52% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=10, mult=0.7 |
-2.1% | -38.8% | 0.01 | -0.06 | 0.8x | 139 | 50% |
| ADX / DI 방향성 period=18, threshold=25 |
-2.4% | -32.7% | -0.13 | -0.07 | 0.7x | 52 | 15% |
| Buy and hold | 2.8% | -64.7% | 0.25 | 0.04 | 1.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 148-day return is greater than 9%
- Sell — Sell when the 148-day return drops to 9% or below