Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Sodexo SA backtest
10 trend-following strategies were compared on the full daily history of Sodexo 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 4.7%, MDD -42.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.4%, drawdown -69.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.7%, MDD -42.9%, Sharpe 0.34, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 26.4%p (CAGR 4.7%, MDD -42.9%, exposure 61%).
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=54, slow=193 |
4.7% | -42.9% | 0.34 | 0.11 | 3.3x | 33 | 61% |
| Donchian 채널 돌파 entryN=101, exitN=99 |
3.5% | -44.0% | 0.29 | 0.08 | 2.5x | 29 | 60% |
| EMA 크로스오버 fast=15, slow=215 |
3.0% | -43.3% | 0.26 | 0.07 | 2.2x | 57 | 60% |
| ADX / DI 방향성 period=39, threshold=22 |
0.9% | -9.9% | 0.23 | 0.10 | 1.3x | 12 | 4% |
| ROC 모멘텀 n=213, threshold=-0.12 |
1.9% | -65.8% | 0.19 | 0.03 | 1.7x | 113 | 76% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
0.2% | -17.3% | 0.07 | 0.01 | 1.1x | 16 | 6% |
| Supertrend period=22, mult=5 |
-1.4% | -75.6% | 0.02 | -0.02 | 0.7x | 79 | 57% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=14, mult=3.1 |
-0.6% | -38.4% | -0.04 | -0.02 | 0.9x | 53 | 12% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-5.1% | -80.9% | -0.15 | -0.06 | 0.3x | 373 | 56% |
| MACD fast=16, slow=58, signal=19 |
-7.8% | -92.7% | -0.28 | -0.08 | 0.1x | 323 | 51% |
| Buy and hold | 2.4% | -69.3% | 0.23 | 0.03 | 1.9x | 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 54-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 54-day average falls below the 193-day average