Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Sopra Steria Group SA backtest
10 trend-following strategies were compared on the full daily history of Sopra Steria Group SA. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.5%, MDD -36.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.3%, drawdown -93.9%).
Sharpe leader (same as main): Supertrend — CAGR 11.2%, MDD -60.7%, Sharpe 0.54, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 33.1%p (CAGR 8.5%, MDD -36.3%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=26, mult=3.2 |
11.2% | -60.7% | 0.54 | 0.19 | 17.1x | 177 | 61% |
| Donchian 채널 돌파 entryN=62, exitN=22 |
8.5% | -36.3% | 0.54 | 0.23 | 8.8x | 81 | 37% |
| 볼린저 밴드 돌파 n=54, k=1.8 |
6.8% | -38.7% | 0.45 | 0.18 | 5.8x | 107 | 39% |
| SMA 크로스오버 fast=13, slow=36 |
8.1% | -58.8% | 0.43 | 0.14 | 8.0x | 203 | 57% |
| EMA 크로스오버 fast=58, slow=172 |
7.2% | -56.2% | 0.42 | 0.13 | 6.4x | 29 | 57% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=3 |
4.7% | -40.7% | 0.35 | 0.11 | 3.4x | 101 | 37% |
| MACD fast=15, slow=63, signal=12 |
5.1% | -57.2% | 0.32 | 0.09 | 3.8x | 332 | 52% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.9% | -66.0% | 0.27 | 0.06 | 2.8x | 432 | 55% |
| ROC 모멘텀 n=92, threshold=0.14 |
3.3% | -47.7% | 0.27 | 0.07 | 2.4x | 243 | 31% |
| ADX / DI 방향성 period=32, threshold=25 |
1.5% | -26.4% | 0.21 | 0.06 | 1.5x | 50 | 8% |
| Buy and hold | 3.3% | -93.9% | 0.27 | 0.04 | 2.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 26-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)