Trend-Following Backtester · Guide · backtest 한국어

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Publicis Groupe SA backtest

10 trend-following strategies were compared on the full daily history of Publicis Groupe SA. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.6%, MDD -33.4%).

Data 2000-09-19 ~ 2026-07-31daily bars 6,643 (25.9 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 3.0%, drawdown -72.1%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.6%, MDD -33.4%, Sharpe 0.53, 44% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 7.6%, MDD -33.4%, exposure 44%).

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
Donchian 채널 돌파
entryN=96, exitN=67
7.6%-33.4%0.530.236.6x2944%
SMA 크로스오버
fast=56, slow=164
5.8%-42.1%0.400.144.3x4152%
EMA 크로스오버
fast=39, slow=164
5.5%-40.9%0.390.134.0x4754%
ADX / DI 방향성
period=34, threshold=28
1.5%-9.6%0.360.151.5x104%
Keltner 채널 돌파
emaPeriod=14, atrPeriod=17, mult=2.9
1.5%-17.5%0.330.081.5x184%
ROC 모멘텀
n=102, threshold=0.03
2.2%-52.7%0.210.041.7x24347%
Supertrend
period=17, mult=4.9
2.1%-67.1%0.200.031.7x8558%
볼린저 밴드 돌파
n=44, k=3.1
1.1%-22.7%0.190.051.3x269%
MACD
fast=17, slow=43, signal=29
-2.0%-74.5%0.01-0.030.6x26350%
Parabolic SAR
step=0.01, maxStep=0.36
-4.3%-85.2%-0.10-0.050.3x37553%
Buy and hold3.0%-72.1%0.250.042.2x1100%
1x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -36% -54% -72% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -33.4% (2015-04-22 → 2020-10-29), recovered after 2,095 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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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