Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Thales SA backtest
10 trend-following strategies were compared on the full daily history of Thales SA. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.7%, drawdown -67.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.2%, MDD -16.3%, Sharpe 0.34, 5% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 4.7%, MDD -60.6%, exposure 58%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=32, mult=3.9 |
2.2% | -16.3% | 0.34 | 0.14 | 1.8x | 22 | 5% |
| EMA 크로스오버 fast=46, slow=203 |
4.7% | -60.6% | 0.33 | 0.08 | 3.4x | 40 | 58% |
| Donchian 채널 돌파 entryN=112, exitN=69 |
3.3% | -62.0% | 0.27 | 0.05 | 2.4x | 40 | 46% |
| ROC 모멘텀 n=3, threshold=0.13 |
0.9% | -6.7% | 0.26 | 0.13 | 1.3x | 22 | 0% |
| SMA 크로스오버 fast=44, slow=209 |
3.1% | -60.4% | 0.26 | 0.05 | 2.3x | 46 | 58% |
| 볼린저 밴드 돌파 n=28, k=3.4 |
1.4% | -13.4% | 0.25 | 0.10 | 1.4x | 20 | 5% |
| ADX / DI 방향성 period=34, threshold=19 |
1.8% | -26.1% | 0.25 | 0.07 | 1.6x | 48 | 14% |
| Supertrend period=22, mult=4.1 |
2.0% | -56.0% | 0.20 | 0.04 | 1.7x | 99 | 53% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.3% | -75.8% | -0.01 | -0.03 | 0.5x | 247 | 52% |
| MACD fast=13, slow=54, signal=16 |
-3.1% | -71.9% | -0.07 | -0.04 | 0.4x | 339 | 50% |
| Buy and hold | 7.7% | -67.1% | 0.40 | 0.11 | 7.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 22-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 22-day average