Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Etablissements Maurel & Prom SA backtest
10 trend-following strategies were compared on the full daily history of Etablissements Maurel & Prom SA. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.8%, MDD -37.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.6%, drawdown -94.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.8%, MDD -37.8%, Sharpe 0.64, 15% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.2%, MDD -53.0%, exposure 37%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 56.6%p (CAGR 9.8%, MDD -37.8%, exposure 15%).
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=48, k=3.2 |
9.8% | -37.8% | 0.64 | 0.26 | 12.1x | 38 | 15% |
| Donchian 채널 돌파 entryN=119, exitN=64 |
13.2% | -53.0% | 0.62 | 0.25 | 26.9x | 28 | 37% |
| SMA 크로스오버 fast=40, slow=178 |
11.1% | -74.5% | 0.51 | 0.15 | 16.5x | 44 | 48% |
| ROC 모멘텀 n=146, threshold=0.11 |
8.9% | -72.0% | 0.47 | 0.12 | 9.8x | 145 | 35% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=27, mult=4 |
5.8% | -39.8% | 0.45 | 0.15 | 4.5x | 52 | 13% |
| Supertrend period=9, mult=3.3 |
7.8% | -71.7% | 0.40 | 0.11 | 7.4x | 170 | 53% |
| MACD fast=19, slow=49, signal=14 |
7.9% | -69.3% | 0.40 | 0.11 | 7.5x | 277 | 50% |
| EMA 크로스오버 fast=57, slow=104 |
7.0% | -79.4% | 0.38 | 0.09 | 6.1x | 56 | 47% |
| ADX / DI 방향성 period=46, threshold=11 |
5.7% | -49.2% | 0.37 | 0.12 | 4.4x | 136 | 29% |
| Parabolic SAR step=0.015, maxStep=0.26 |
1.4% | -82.2% | 0.19 | 0.02 | 1.4x | 448 | 52% |
| Buy and hold | 6.6% | -94.4% | 0.35 | 0.07 | 5.4x | 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 48-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 48-day middle average