Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Robertet SA backtest
10 trend-following strategies were compared on the full daily history of Robertet SA. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.7%, MDD -34.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -58.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.0%, MDD -41.1%, Sharpe 0.52, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.7%, MDD -56.6%, exposure 88%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 17.1%p (CAGR 8.7%, MDD -34.3%, exposure 72%).
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=67, slow=155 |
9.0% | -41.1% | 0.52 | 0.22 | 9.9x | 44 | 65% |
| ROC 모멘텀 n=150, threshold=-0.1 |
9.7% | -56.6% | 0.50 | 0.17 | 11.6x | 85 | 88% |
| EMA 크로스오버 fast=57, slow=199 |
8.7% | -34.3% | 0.49 | 0.25 | 9.2x | 28 | 72% |
| Donchian 채널 돌파 entryN=54, exitN=88 |
6.3% | -62.2% | 0.39 | 0.10 | 5.0x | 39 | 76% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=27, mult=4 |
1.3% | -39.9% | 0.17 | 0.03 | 1.4x | 80 | 24% |
| ADX / DI 방향성 period=58, threshold=16 |
1.1% | -24.0% | 0.15 | 0.04 | 1.3x | 48 | 17% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.1% | -63.7% | 0.15 | 0.02 | 1.3x | 309 | 53% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
-0.0% | -38.5% | 0.03 | -0.00 | 1.0x | 40 | 8% |
| Supertrend period=29, mult=3.6 |
-1.8% | -77.6% | -0.01 | -0.02 | 0.6x | 192 | 54% |
| MACD fast=20, slow=43, signal=24 |
-3.1% | -71.3% | -0.09 | -0.04 | 0.4x | 284 | 48% |
| Buy and hold | 11.5% | -58.2% | 0.55 | 0.20 | 18.2x | 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 67-day average price crosses above the 155-day average
- Sell — Sell (to cash) when the 67-day average falls below the 155-day average