Trend-Following Backtester · Guide · backtest 한국어

equity · FR

Sanofi SA backtest

10 trend-following strategies were compared on the full daily history of Sanofi SA. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.0%, MDD -38.1%).

Data 2000-01-03 ~ 2026-07-31daily bars 6,829 (26.6 years)Costs 0.5%Venue EURONEXTMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 2.3%, drawdown -55.8%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.5%, MDD -7.1%, Sharpe 0.23, 2% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 2.1%, MDD -59.5%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 48.7%p (CAGR 2.0%, MDD -38.1%, exposure 52%).

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
볼린저 밴드 돌파
n=22, k=3.5
0.5%-7.1%0.230.071.1x82%
ROC 모멘텀
Hold-like · Exposure 100%
n=1, threshold=-0.09
2.1%-59.5%0.210.041.7x9100%
SMA 크로스오버
fast=56, slow=210
2.0%-38.1%0.200.051.7x3252%
EMA 크로스오버
fast=98, slow=114
1.1%-49.5%0.150.021.3x4255%
Donchian 채널 돌파
entryN=53, exitN=97
-1.8%-65.1%0.00-0.030.6x4763%
Keltner 채널 돌파
emaPeriod=21, atrPeriod=20, mult=3.6
-0.1%-20.1%-0.03-0.011.0x143%
ADX / DI 방향성
period=38, threshold=22
-0.6%-23.8%-0.10-0.030.9x163%
Supertrend
period=16, mult=4.7
-5.0%-88.1%-0.17-0.060.3x9252%
MACD
fast=19, slow=35, signal=15
-9.5%-94.3%-0.48-0.100.1x37352%
Parabolic SAR
step=0.015, maxStep=0.16
-13.4%-97.9%-0.68-0.140.0x52054%
Buy and hold2.3%-55.8%0.220.041.9x1100%
1x 2001 2005 2009 2013 2017 2021 2025 ROC 모멘텀볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -15% -30% -45% -60% 2001 2005 2009 2013 2017 2021 2025 Buy and holdROC 모멘텀볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -7.1% (2023-04-25 → 2025-03-21), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

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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