Trend-Following Backtester · Guide · backtest 한국어
equity · FR
EssilorLuxottica SA backtest
10 trend-following strategies were compared on the full daily history of EssilorLuxottica SA. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.9%, MDD -30.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -49.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.9%, MDD -30.9%, Sharpe 0.51, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 18.6%p (CAGR 7.9%, MDD -30.9%, exposure 64%).
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=49, slow=82 |
7.9% | -30.9% | 0.51 | 0.26 | 7.6x | 74 | 64% |
| EMA 크로스오버 fast=59, slow=98 |
7.4% | -30.3% | 0.47 | 0.24 | 6.7x | 38 | 70% |
| Donchian 채널 돌파 entryN=93, exitN=66 |
5.2% | -45.7% | 0.39 | 0.11 | 3.8x | 38 | 59% |
| ROC 모멘텀 n=137, threshold=-0.06 |
5.1% | -47.5% | 0.34 | 0.11 | 3.7x | 158 | 79% |
| 볼린저 밴드 돌파 n=38, k=3.2 |
1.6% | -18.4% | 0.26 | 0.09 | 1.5x | 34 | 10% |
| Supertrend period=28, mult=4.6 |
2.2% | -49.3% | 0.21 | 0.05 | 1.8x | 90 | 64% |
| ADX / DI 방향성 period=37, threshold=27 |
0.3% | -13.4% | 0.08 | 0.02 | 1.1x | 12 | 3% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=18, mult=3.1 |
-0.1% | -46.5% | 0.05 | -0.00 | 1.0x | 92 | 33% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-3.4% | -71.8% | -0.11 | -0.05 | 0.4x | 244 | 53% |
| MACD fast=15, slow=23, signal=18 |
-5.6% | -81.7% | -0.24 | -0.07 | 0.2x | 392 | 50% |
| Buy and hold | 9.6% | -49.5% | 0.48 | 0.19 | 11.3x | 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 49-day average price crosses above the 82-day average
- Sell — Sell (to cash) when the 49-day average falls below the 82-day average