Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Inventiva SA backtest
10 trend-following strategies were compared on the full daily history of Inventiva SA. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.6%, MDD -19.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -8.3%, drawdown -90.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.7%, MDD -61.7%, Sharpe 0.42, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 26.0%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 2.6%, MDD -19.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=32, slow=146 |
17.7% | -61.7% | 0.42 | 0.29 | 4.7x | 16 | 45% |
| ROC 모멘텀 n=125, threshold=0.1 |
12.5% | -60.2% | 0.36 | 0.21 | 3.1x | 72 | 36% |
| EMA 크로스오버 fast=48, slow=132 |
11.0% | -56.9% | 0.34 | 0.19 | 2.7x | 10 | 41% |
| Supertrend period=27, mult=2.8 |
7.5% | -69.8% | 0.33 | 0.11 | 2.0x | 77 | 38% |
| Donchian 채널 돌파 entryN=23, exitN=54 |
4.5% | -72.6% | 0.32 | 0.06 | 1.5x | 25 | 61% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.2% | -69.2% | 0.29 | 0.03 | 1.2x | 57 | 52% |
| 볼린저 밴드 돌파 n=23, k=1.9 |
3.1% | -61.7% | 0.29 | 0.05 | 1.3x | 59 | 25% |
| ADX / DI 방향성 period=37, threshold=34 |
2.6% | -19.5% | 0.23 | 0.13 | 1.3x | 2 | 0% |
| MACD fast=18, slow=44, signal=18 |
-1.7% | -80.5% | 0.22 | -0.02 | 0.9x | 91 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=1.3 |
-9.8% | -86.1% | -0.03 | -0.11 | 0.4x | 60 | 36% |
| Buy and hold | -8.3% | -90.7% | 0.23 | -0.09 | 0.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 32-day average price crosses above the 146-day average
- Sell — Sell (to cash) when the 32-day average falls below the 146-day average