Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Remy Cointreau SA backtest
10 trend-following strategies were compared on the full daily history of Remy Cointreau SA. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.9%, MDD -45.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.7%, drawdown -83.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.3%, MDD -54.5%, Sharpe 0.36, 54% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.4%, MDD -57.6%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 3.9%, MDD -45.9%, exposure 50%).
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=50, slow=213 |
5.3% | -54.5% | 0.36 | 0.10 | 4.0x | 35 | 54% |
| EMA 크로스오버 fast=58, slow=110 |
5.4% | -57.6% | 0.35 | 0.09 | 4.0x | 47 | 57% |
| Donchian 채널 돌파 entryN=74, exitN=65 |
3.9% | -45.9% | 0.29 | 0.08 | 2.8x | 47 | 50% |
| ADX / DI 방향성 period=38, threshold=22 |
1.5% | -21.0% | 0.24 | 0.07 | 1.5x | 26 | 8% |
| Supertrend period=14, mult=5 |
2.1% | -68.8% | 0.20 | 0.03 | 1.7x | 79 | 52% |
| ROC 모멘텀 n=116, threshold=-0.03 |
2.0% | -61.7% | 0.19 | 0.03 | 1.7x | 195 | 62% |
| 볼린저 밴드 돌파 n=40, k=1.1 |
0.3% | -59.4% | 0.11 | 0.01 | 1.1x | 211 | 45% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=27, mult=2.5 |
0.1% | -48.8% | 0.08 | 0.00 | 1.0x | 111 | 28% |
| MACD fast=14, slow=61, signal=16 |
-3.3% | -79.6% | -0.04 | -0.04 | 0.4x | 318 | 52% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-7.5% | -93.1% | -0.24 | -0.08 | 0.1x | 478 | 53% |
| Buy and hold | 2.7% | -83.7% | 0.24 | 0.03 | 2.0x | 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 50-day average price crosses above the 213-day average
- Sell — Sell (to cash) when the 50-day average falls below the 213-day average