Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Metropole Television SA backtest
10 trend-following strategies were compared on the full daily history of Metropole Television SA. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -13.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.2%, drawdown -89.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.5%, MDD -47.0%, Sharpe 0.19, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 42.5%p (CAGR 0.3%, MDD -13.9%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=28, threshold=0.17 |
1.5% | -47.0% | 0.19 | 0.03 | 1.5x | 84 | 5% |
| Supertrend period=10, mult=2.2 |
-0.2% | -71.7% | 0.10 | -0.00 | 0.9x | 266 | 49% |
| ADX / DI 방향성 period=34, threshold=38 |
0.3% | -13.9% | 0.09 | 0.02 | 1.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=9, mult=4 |
0.4% | -52.5% | 0.09 | 0.01 | 1.1x | 42 | 14% |
| SMA 크로스오버 fast=71, slow=269 |
-0.5% | -45.5% | 0.06 | -0.01 | 0.9x | 30 | 43% |
| 볼린저 밴드 돌파 n=25, k=1.9 |
-1.6% | -65.6% | 0.00 | -0.02 | 0.7x | 200 | 29% |
| EMA 크로스오버 fast=75, slow=273 |
-1.3% | -48.2% | -0.01 | -0.03 | 0.7x | 24 | 39% |
| Donchian 채널 돌파 entryN=91, exitN=77 |
-2.7% | -57.1% | -0.09 | -0.05 | 0.5x | 37 | 38% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-5.1% | -85.2% | -0.12 | -0.06 | 0.2x | 226 | 47% |
| MACD fast=11, slow=22, signal=20 |
-6.1% | -84.1% | -0.15 | -0.07 | 0.2x | 392 | 49% |
| Buy and hold | -5.2% | -89.5% | 0.01 | -0.06 | 0.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 28-day return is greater than 17%
- Sell — Sell when the 28-day return drops to 17% or below