Trend-Following Backtester · Guide · backtest 한국어

equity · FR

Rexel SA backtest

10 trend-following strategies were compared on the full daily history of Rexel SA. 2 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 5.6%, MDD -50.4%).

Data 2007-04-05 ~ 2026-07-31daily bars 4,942 (19.3 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 4.1%, drawdown -78.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -50.4%, Sharpe 0.34, 59% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 28.5%p (CAGR 5.6%, MDD -50.4%, exposure 59%).

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=75, exitN=91
5.6%-50.4%0.340.112.9x2559%
ROC 모멘텀
n=92, threshold=-0.07
4.8%-57.0%0.310.082.5x13569%
EMA 크로스오버
fast=8, slow=232
4.1%-52.6%0.290.082.2x4758%
SMA 크로스오버
fast=58, slow=171
2.6%-75.4%0.230.031.6x2559%
Supertrend
period=23, mult=3.4
0.9%-55.5%0.160.021.2x12657%
Parabolic SAR
step=0.01, maxStep=0.34
0.7%-52.5%0.150.011.1x27451%
볼린저 밴드 돌파
n=12, k=3
0.2%-8.3%0.090.031.0x61%
ADX / DI 방향성
period=25, threshold=15
-0.4%-51.1%0.06-0.010.9x15630%
Keltner 채널 돌파
emaPeriod=55, atrPeriod=25, mult=2.8
-2.6%-66.6%-0.08-0.040.6x8429%
MACD
fast=18, slow=50, signal=7
-4.8%-67.7%-0.08-0.070.4x33050%
Buy and hold4.1%-78.8%0.290.052.2x1100%
1x 2008 2011 2014 2017 2020 2023 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -39% -59% -79% 2008 2011 2014 2017 2020 2023 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -50.4% (2017-04-26 → 2020-10-30), recovered after 1,533 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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