Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Elior Group SA backtest
10 trend-following strategies were compared on the full daily history of Elior Group SA. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -3.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.9%, drawdown -94.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.0%, MDD -8.1%, Sharpe 0.40, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.9%p higher than buy and hold, while drawdown improves by 85.9%p (CAGR 0.2%, MDD -3.4%, exposure 1%).
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=2, threshold=0.15 |
3.0% | -8.1% | 0.40 | 0.38 | 1.4x | 16 | 0% |
| 볼린저 밴드 돌파 n=13, k=3.1 |
1.6% | -9.9% | 0.25 | 0.16 | 1.2x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=29, mult=3.3 |
2.2% | -22.2% | 0.24 | 0.10 | 1.3x | 12 | 4% |
| MACD fast=17, slow=34, signal=14 |
1.8% | -76.6% | 0.22 | 0.02 | 1.2x | 142 | 51% |
| ADX / DI 방향성 period=26, threshold=38 |
0.2% | -3.4% | 0.17 | 0.07 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=75, exitN=101 |
-2.6% | -54.3% | 0.04 | -0.05 | 0.7x | 14 | 49% |
| Supertrend period=15, mult=4.3 |
-5.9% | -65.7% | -0.04 | -0.09 | 0.5x | 46 | 50% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-6.9% | -72.9% | -0.04 | -0.09 | 0.4x | 230 | 47% |
| SMA 크로스오버 fast=8, slow=183 |
-8.1% | -74.0% | -0.15 | -0.11 | 0.4x | 38 | 44% |
| EMA 크로스오버 fast=56, slow=128 |
-7.7% | -76.3% | -0.17 | -0.10 | 0.4x | 18 | 44% |
| Buy and hold | -15.9% | -94.0% | -0.12 | -0.17 | 0.1x | 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 2-day return is greater than 15%
- Sell — Sell when the 2-day return drops to 15% or below