Trend-Following Backtester · Guide · backtest 한국어

equity · FR

L'Oreal S.A. backtest

10 trend-following strategies were compared on the full daily history of L'Oreal S.A.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.

Data 2000-01-03 ~ 2026-07-31daily bars 6,829 (26.6 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 6.1%, drawdown -52.7%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -11.0%, Sharpe 0.36, 7% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 3.8%, MDD -37.3%, exposure 63%.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=35, threshold=21
1.8%-11.0%0.360.171.6x147%
SMA 크로스오버
fast=41, slow=209
3.8%-37.3%0.300.102.7x4363%
EMA 크로스오버
fast=60, slow=178
3.3%-33.1%0.270.102.4x3366%
Donchian 채널 돌파
entryN=104, exitN=103
2.9%-30.6%0.250.092.1x3058%
Keltner 채널 돌파
emaPeriod=43, atrPeriod=27, mult=3.9
0.9%-16.8%0.160.051.3x3211%
Supertrend
period=21, mult=4.9
1.2%-55.3%0.150.021.4x7161%
ROC 모멘텀
n=88, threshold=-0.12
0.9%-82.8%0.150.011.3x14390%
볼린저 밴드 돌파
n=41, k=3.5
0.5%-17.1%0.150.031.2x104%
MACD
fast=23, slow=54, signal=31
-2.3%-67.6%-0.06-0.030.5x21851%
Parabolic SAR
step=0.005, maxStep=0.16
-7.9%-90.7%-0.39-0.090.1x25956%
Buy and hold6.1%-52.7%0.360.124.9x1100%
1x 2001 2005 2009 2013 2017 2021 2025 SMA 크로스오버ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -13% -26% -40% -53% 2001 2005 2009 2013 2017 2021 2025 Buy and holdSMA 크로스오버ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -11.0% (2013-05-16 → 2015-02-16), recovered after 691 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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