Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Covivio SA backtest
10 trend-following strategies were compared on the full daily history of Covivio SA. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.8%, MDD -58.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.0%, drawdown -79.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.8%, MDD -58.7%, Sharpe 0.39, 87% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 20.4%p (CAGR 6.8%, MDD -58.7%, exposure 87%).
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=89, threshold=-0.13 |
6.8% | -58.7% | 0.39 | 0.12 | 5.7x | 89 | 87% |
| SMA 크로스오버 fast=62, slow=273 |
4.1% | -70.5% | 0.30 | 0.06 | 2.9x | 34 | 60% |
| ADX / DI 방향성 period=20, threshold=38 |
1.1% | -10.5% | 0.28 | 0.10 | 1.3x | 16 | 3% |
| Donchian 채널 돌파 entryN=65, exitN=96 |
2.6% | -57.6% | 0.22 | 0.04 | 2.0x | 39 | 67% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
1.2% | -27.9% | 0.17 | 0.04 | 1.4x | 34 | 13% |
| EMA 크로스오버 fast=58, slow=148 |
0.8% | -80.6% | 0.14 | 0.01 | 1.2x | 50 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=10, mult=3.7 |
0.2% | -58.0% | 0.08 | 0.00 | 1.1x | 88 | 26% |
| MACD fast=25, slow=69, signal=28 |
-2.3% | -58.1% | -0.01 | -0.04 | 0.5x | 211 | 52% |
| Supertrend period=13, mult=4.9 |
-4.8% | -77.6% | -0.13 | -0.06 | 0.3x | 130 | 52% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-7.2% | -86.9% | -0.24 | -0.08 | 0.1x | 453 | 55% |
| Buy and hold | 3.0% | -79.2% | 0.25 | 0.04 | 2.2x | 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 89-day return is greater than -13%
- Sell — Sell when the 89-day return drops to -13% or below