Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Genfit SA backtest
10 trend-following strategies were compared on the full daily history of Genfit SA. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.2%, MDD -68.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.3%, drawdown -95.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.4%, MDD -74.4%, Sharpe 0.56, 26% exposure.
CAGR reference leader: Parabolic SAR — CAGR 15.6%, MDD -74.1%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.6%p higher than buy and hold, while drawdown improves by 21.5%p (CAGR 10.2%, MDD -68.7%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=54, slow=359 |
14.4% | -74.4% | 0.56 | 0.19 | 14.1x | 9 | 26% |
| Parabolic SAR step=0.045, maxStep=0.2 |
15.6% | -74.1% | 0.52 | 0.21 | 17.2x | 561 | 46% |
| SMA 크로스오버 fast=46, slow=244 |
13.1% | -88.7% | 0.51 | 0.15 | 11.3x | 23 | 34% |
| 볼린저 밴드 돌파 n=17, k=2.6 |
10.2% | -68.7% | 0.49 | 0.15 | 6.8x | 102 | 16% |
| Supertrend period=8, mult=2.3 |
9.6% | -90.3% | 0.43 | 0.11 | 6.1x | 187 | 46% |
| MACD fast=28, slow=57, signal=9 |
8.7% | -87.5% | 0.41 | 0.10 | 5.2x | 202 | 51% |
| ADX / DI 방향성 period=8, threshold=26 |
6.4% | -96.4% | 0.36 | 0.07 | 3.4x | 339 | 31% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=21, mult=1.9 |
6.4% | -91.1% | 0.36 | 0.07 | 3.4x | 108 | 22% |
| Donchian 채널 돌파 entryN=43, exitN=7 |
6.4% | -88.2% | 0.36 | 0.07 | 3.4x | 76 | 18% |
| ROC 모멘텀 n=88, threshold=0.13 |
-0.5% | -95.7% | 0.17 | -0.01 | 0.9x | 137 | 28% |
| Buy and hold | -1.3% | -95.9% | 0.29 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 359-day EMA
- Sell — Sell when the 54-day EMA falls below the 359-day EMA