Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Teleperformance SE backtest
10 trend-following strategies were compared on the full daily history of Teleperformance SE. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.3%, MDD -52.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.9%, drawdown -88.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.6%, MDD -54.3%, Sharpe 0.74, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 16.3%, MDD -52.0%, exposure 65%).
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=23, slow=397 |
16.6% | -54.3% | 0.74 | 0.31 | 190.3x | 18 | 63% |
| EMA 크로스오버 fast=64, slow=206 |
16.3% | -52.0% | 0.72 | 0.31 | 172.3x | 20 | 65% |
| Supertrend period=20, mult=5 |
10.0% | -71.8% | 0.51 | 0.14 | 25.6x | 115 | 57% |
| Donchian 채널 돌파 entryN=25, exitN=35 |
10.6% | -78.6% | 0.50 | 0.13 | 30.8x | 117 | 68% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
4.6% | -24.7% | 0.48 | 0.18 | 4.6x | 30 | 9% |
| Parabolic SAR step=0.005, maxStep=0.34 |
8.2% | -80.9% | 0.43 | 0.10 | 14.7x | 269 | 55% |
| ROC 모멘텀 n=131, threshold=-0.04 |
8.3% | -82.9% | 0.43 | 0.10 | 15.1x | 223 | 68% |
| ADX / DI 방향성 period=39, threshold=26 |
3.2% | -35.3% | 0.39 | 0.09 | 3.0x | 16 | 5% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=20, mult=3.7 |
2.3% | -24.2% | 0.26 | 0.10 | 2.2x | 64 | 8% |
| MACD fast=20, slow=33, signal=17 |
-1.1% | -86.6% | 0.09 | -0.01 | 0.7x | 431 | 50% |
| Buy and hold | 10.9% | -88.4% | 0.46 | 0.12 | 34.8x | 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 23-day average price crosses above the 397-day average
- Sell — Sell (to cash) when the 23-day average falls below the 397-day average