Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Eurazeo SE backtest
10 trend-following strategies were compared on the full daily history of Eurazeo SE. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.4%, MDD -20.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.1%, drawdown -97.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.4%, MDD -20.2%, Sharpe 0.41, 22% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 7.3%, MDD -90.7%, exposure 38%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 77.7%p (CAGR 4.4%, MDD -20.2%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=16 |
4.4% | -20.2% | 0.41 | 0.22 | 3.2x | 74 | 22% |
| Donchian 채널 돌파 entryN=45, exitN=25 |
7.2% | -92.8% | 0.22 | 0.08 | 6.4x | 77 | 43% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=22, mult=2.4 |
7.3% | -90.7% | 0.22 | 0.08 | 6.5x | 89 | 38% |
| SMA 크로스오버 fast=13, slow=136 |
6.1% | -90.9% | 0.21 | 0.07 | 4.9x | 65 | 51% |
| Supertrend period=22, mult=3.8 |
5.1% | -90.9% | 0.21 | 0.06 | 3.7x | 117 | 54% |
| EMA 크로스오버 fast=43, slow=65 |
5.1% | -92.9% | 0.21 | 0.06 | 3.8x | 55 | 50% |
| ROC 모멘텀 n=140, threshold=-0.03 |
1.7% | -93.8% | 0.19 | 0.02 | 1.6x | 185 | 57% |
| Parabolic SAR step=0.01, maxStep=0.08 |
0.6% | -93.4% | 0.19 | 0.01 | 1.2x | 340 | 52% |
| 볼린저 밴드 돌파 n=58, k=2.1 |
-2.4% | -91.8% | 0.17 | -0.03 | 0.5x | 73 | 32% |
| MACD fast=19, slow=22, signal=16 |
-5.2% | -98.0% | 0.15 | -0.05 | 0.2x | 404 | 48% |
| Buy and hold | 0.1% | -97.9% | 0.20 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)