Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Edenred SA backtest
10 trend-following strategies were compared on the full daily history of Edenred SA. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.5%, MDD -37.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.5%, drawdown -75.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.5%, MDD -40.9%, Sharpe 0.51, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 34.3%p (CAGR 6.5%, MDD -37.6%, exposure 57%).
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=85, exitN=95 |
8.5% | -40.9% | 0.51 | 0.21 | 3.7x | 15 | 61% |
| SMA 크로스오버 fast=57, slow=203 |
6.5% | -37.6% | 0.41 | 0.17 | 2.8x | 15 | 57% |
| ROC 모멘텀 n=144, threshold=-0.05 |
3.9% | -54.7% | 0.29 | 0.07 | 1.9x | 73 | 65% |
| EMA 크로스오버 fast=59, slow=120 |
3.6% | -51.6% | 0.28 | 0.07 | 1.8x | 21 | 59% |
| ADX / DI 방향성 period=47, threshold=18 |
1.6% | -15.1% | 0.26 | 0.11 | 1.3x | 9 | 7% |
| Supertrend period=33, mult=5 |
2.8% | -48.0% | 0.23 | 0.06 | 1.6x | 51 | 58% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
0.1% | -18.5% | 0.05 | 0.01 | 1.0x | 10 | 4% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=26, mult=2.9 |
-0.3% | -37.7% | 0.01 | -0.01 | 1.0x | 37 | 10% |
| MACD fast=13, slow=27, signal=18 |
-3.3% | -74.6% | -0.05 | -0.04 | 0.6x | 237 | 49% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-6.2% | -77.7% | -0.22 | -0.08 | 0.4x | 137 | 52% |
| Buy and hold | 4.5% | -75.2% | 0.29 | 0.06 | 2.0x | 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 85 days
- Sell — Sell when price breaks below the lowest low of the last 95 days