Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Societe Generale SA Class A backtest
10 trend-following strategies were compared on the full daily history of Societe Generale SA Class A. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.1%, MDD -41.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.4%, drawdown -92.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.7%, MDD -63.5%, Sharpe 0.34, 61% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 2.1%, MDD -41.9%, exposure 20%).
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=166, threshold=-0.04 |
5.7% | -63.5% | 0.34 | 0.09 | 4.4x | 181 | 61% |
| Donchian 채널 돌파 entryN=79, exitN=45 |
4.8% | -47.4% | 0.33 | 0.10 | 3.5x | 54 | 43% |
| SMA 크로스오버 fast=18, slow=254 |
5.0% | -63.1% | 0.32 | 0.08 | 3.7x | 43 | 53% |
| EMA 크로스오버 fast=55, slow=137 |
4.8% | -66.1% | 0.32 | 0.07 | 3.5x | 35 | 55% |
| Supertrend period=13, mult=4.4 |
3.0% | -73.5% | 0.24 | 0.04 | 2.2x | 104 | 57% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
2.1% | -41.9% | 0.21 | 0.05 | 1.7x | 52 | 20% |
| MACD fast=19, slow=55, signal=17 |
1.2% | -75.9% | 0.18 | 0.02 | 1.4x | 272 | 53% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=8, mult=2.9 |
0.5% | -43.0% | 0.11 | 0.01 | 1.1x | 100 | 28% |
| ADX / DI 방향성 period=25, threshold=37 |
0.1% | -12.6% | 0.06 | 0.01 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-6.0% | -94.5% | -0.10 | -0.06 | 0.2x | 508 | 53% |
| Buy and hold | 1.4% | -92.3% | 0.24 | 0.02 | 1.5x | 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 166-day return is greater than -4%
- Sell — Sell when the 166-day return drops to -4% or below