Trend-Following Backtester · Guide · backtest 한국어
equity · FR
JCDecaux SE backtest
10 trend-following strategies were compared on the full daily history of JCDecaux SE. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.9%, MDD -38.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.3%, drawdown -74.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.4%, MDD -63.1%, Sharpe 0.26, 58% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 11.0%p (CAGR 2.9%, MDD -38.9%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=60, exitN=72 |
3.4% | -63.1% | 0.26 | 0.05 | 2.3x | 43 | 58% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=21, mult=2.2 |
2.9% | -38.9% | 0.25 | 0.07 | 2.0x | 93 | 36% |
| SMA 크로스오버 fast=32, slow=100 |
2.5% | -71.0% | 0.22 | 0.04 | 1.9x | 69 | 52% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
2.1% | -46.4% | 0.20 | 0.05 | 1.7x | 103 | 37% |
| EMA 크로스오버 fast=26, slow=107 |
1.5% | -75.0% | 0.18 | 0.02 | 1.5x | 65 | 53% |
| ADX / DI 방향성 period=38, threshold=21 |
1.0% | -33.1% | 0.15 | 0.03 | 1.3x | 36 | 11% |
| Supertrend period=35, mult=3.4 |
-0.5% | -74.3% | 0.09 | -0.01 | 0.9x | 131 | 52% |
| ROC 모멘텀 n=134, threshold=0.07 |
-0.6% | -72.9% | 0.06 | -0.01 | 0.9x | 215 | 40% |
| MACD fast=18, slow=40, signal=16 |
-4.2% | -83.4% | -0.07 | -0.05 | 0.3x | 309 | 49% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-6.6% | -87.6% | -0.16 | -0.08 | 0.2x | 335 | 51% |
| Buy and hold | 1.3% | -74.0% | 0.21 | 0.02 | 1.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 60 days
- Sell — Sell when price breaks below the lowest low of the last 72 days