Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Compagnie de l'Odet SE backtest
10 trend-following strategies were compared on the full daily history of Compagnie de l'Odet SE. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.4%, MDD -34.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.4%, drawdown -62.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.4%, MDD -34.9%, Sharpe 0.72, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 13.4%, MDD -34.9%, exposure 62%).
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=41, slow=125 |
13.4% | -34.9% | 0.72 | 0.39 | 29.1x | 46 | 62% |
| Donchian 채널 돌파 entryN=88, exitN=72 |
12.2% | -35.7% | 0.70 | 0.34 | 21.6x | 32 | 55% |
| EMA 크로스오버 fast=59, slow=122 |
12.5% | -37.6% | 0.69 | 0.33 | 23.3x | 34 | 60% |
| ROC 모멘텀 n=146, threshold=0.14 |
9.2% | -28.2% | 0.65 | 0.33 | 10.6x | 128 | 37% |
| 볼린저 밴드 돌파 n=55, k=1.8 |
7.1% | -48.3% | 0.50 | 0.15 | 6.3x | 110 | 39% |
| Parabolic SAR step=0.005, maxStep=0.06 |
8.0% | -42.7% | 0.48 | 0.19 | 7.8x | 168 | 57% |
| Supertrend period=8, mult=4.8 |
7.1% | -49.6% | 0.44 | 0.14 | 6.3x | 114 | 60% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=20, mult=4 |
5.6% | -49.5% | 0.42 | 0.11 | 4.3x | 66 | 34% |
| ADX / DI 방향성 period=37, threshold=20 |
3.9% | -21.9% | 0.40 | 0.18 | 2.8x | 60 | 15% |
| MACD fast=23, slow=55, signal=24 |
3.8% | -36.5% | 0.29 | 0.10 | 2.7x | 198 | 48% |
| Buy and hold | 10.4% | -62.0% | 0.49 | 0.17 | 14.1x | 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 41-day average price crosses above the 125-day average
- Sell — Sell (to cash) when the 41-day average falls below the 125-day average