Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Safran SA backtest
10 trend-following strategies were compared on the full daily history of Safran SA. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.2%, MDD -35.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.8%, drawdown -94.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.2%, MDD -35.8%, Sharpe 0.62, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 58.2%p (CAGR 12.2%, MDD -35.8%, exposure 66%).
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=49, slow=173 |
12.2% | -35.8% | 0.62 | 0.34 | 21.1x | 33 | 66% |
| EMA 크로스오버 fast=41, slow=169 |
9.3% | -56.0% | 0.52 | 0.17 | 10.6x | 31 | 64% |
| ROC 모멘텀 n=152, threshold=0.05 |
8.2% | -46.2% | 0.49 | 0.18 | 8.2x | 195 | 58% |
| Donchian 채널 돌파 entryN=29, exitN=67 |
7.0% | -73.2% | 0.38 | 0.10 | 6.0x | 55 | 76% |
| Supertrend period=18, mult=5 |
3.9% | -74.7% | 0.28 | 0.05 | 2.8x | 85 | 61% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=17, mult=3.4 |
0.6% | -8.9% | 0.23 | 0.07 | 1.2x | 8 | 1% |
| ADX / DI 방향성 period=34, threshold=38 |
0.3% | -4.8% | 0.18 | 0.07 | 1.1x | 2 | 0% |
| 볼린저 밴드 돌파 n=48, k=3.4 |
0.8% | -24.6% | 0.15 | 0.03 | 1.2x | 14 | 5% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-4.2% | -86.3% | -0.04 | -0.05 | 0.3x | 379 | 55% |
| MACD fast=18, slow=28, signal=17 |
-6.7% | -89.8% | -0.16 | -0.07 | 0.2x | 386 | 50% |
| Buy and hold | 7.8% | -94.0% | 0.39 | 0.08 | 7.3x | 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 49-day average price crosses above the 173-day average
- Sell — Sell (to cash) when the 49-day average falls below the 173-day average