Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Kering SA backtest
10 trend-following strategies were compared on the full daily history of Kering SA. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.1%, MDD -23.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.2%, drawdown -87.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.4%, MDD -26.1%, Sharpe 0.50, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.3%, MDD -50.9%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 61.7%p (CAGR 4.1%, MDD -23.9%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=54, k=3 |
4.4% | -26.1% | 0.50 | 0.17 | 3.1x | 28 | 13% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=27, mult=4 |
4.1% | -23.9% | 0.42 | 0.17 | 2.9x | 46 | 20% |
| SMA 크로스오버 fast=58, slow=199 |
6.3% | -50.9% | 0.41 | 0.12 | 5.1x | 30 | 53% |
| ADX / DI 방향성 period=37, threshold=22 |
2.4% | -24.7% | 0.34 | 0.10 | 1.9x | 34 | 9% |
| EMA 크로스오버 fast=18, slow=193 |
4.0% | -50.2% | 0.30 | 0.08 | 2.9x | 64 | 54% |
| Donchian 채널 돌파 entryN=108, exitN=77 |
3.2% | -45.0% | 0.27 | 0.07 | 2.3x | 40 | 46% |
| ROC 모멘텀 n=77, threshold=0.14 |
2.8% | -42.4% | 0.26 | 0.07 | 2.1x | 188 | 24% |
| Supertrend period=18, mult=4.3 |
2.3% | -66.7% | 0.21 | 0.03 | 1.8x | 113 | 58% |
| MACD fast=13, slow=54, signal=16 |
0.3% | -61.7% | 0.13 | 0.00 | 1.1x | 322 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
0.3% | -56.4% | 0.12 | 0.01 | 1.1x | 229 | 53% |
| Buy and hold | 0.2% | -87.8% | 0.17 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 54-day average (3× volatility)
- Sell — Sell when the close falls back to the 54-day middle average