Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Gecina SA backtest
10 trend-following strategies were compared on the full daily history of Gecina SA. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.1%, MDD -33.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.4%, drawdown -82.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.0%, MDD -63.0%, Sharpe 0.36, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 19.3%p (CAGR 3.1%, MDD -33.5%, exposure 39%).
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 Hold-like · Exposure 97% n=15, threshold=-0.11 |
6.0% | -63.0% | 0.36 | 0.09 | 7.2x | 83 | 97% |
| SMA 크로스오버 fast=67, slow=213 |
4.4% | -61.6% | 0.34 | 0.07 | 4.4x | 40 | 58% |
| EMA 크로스오버 fast=72, slow=159 |
4.2% | -60.2% | 0.33 | 0.07 | 4.1x | 32 | 59% |
| ADX / DI 방향성 period=39, threshold=25 |
1.9% | -22.0% | 0.31 | 0.09 | 1.9x | 30 | 9% |
| Donchian 채널 돌파 entryN=18, exitN=23 |
4.0% | -54.8% | 0.30 | 0.07 | 3.8x | 187 | 61% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=10, mult=2.2 |
3.1% | -33.5% | 0.29 | 0.09 | 2.9x | 140 | 39% |
| 볼린저 밴드 돌파 n=51, k=2.8 |
2.1% | -20.1% | 0.29 | 0.11 | 2.1x | 60 | 19% |
| Supertrend period=23, mult=5 |
2.8% | -57.4% | 0.24 | 0.05 | 2.5x | 91 | 59% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.6% | -59.7% | 0.23 | 0.04 | 2.4x | 277 | 56% |
| MACD fast=17, slow=40, signal=18 |
0.2% | -68.1% | 0.10 | 0.00 | 1.1x | 407 | 50% |
| Buy and hold | 3.4% | -82.3% | 0.26 | 0.04 | 3.2x | 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 15-day return is greater than -11%
- Sell — Sell when the 15-day return drops to -11% or below