Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Trigano SA backtest
10 trend-following strategies were compared on the full daily history of Trigano SA. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 21.7%, MDD -36.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 14.5%, drawdown -92.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.6%, MDD -48.3%, Sharpe 0.87, 62% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 44.6%p (CAGR 21.7%, MDD -36.7%, exposure 59%).
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=20, slow=156 |
23.6% | -48.3% | 0.87 | 0.49 | 404.5x | 46 | 62% |
| Supertrend period=21, mult=5 |
21.5% | -54.3% | 0.85 | 0.40 | 253.4x | 88 | 57% |
| EMA 크로스오버 fast=40, slow=127 |
22.4% | -57.2% | 0.84 | 0.39 | 307.6x | 38 | 63% |
| ROC 모멘텀 n=123, threshold=0.03 |
21.7% | -36.7% | 0.83 | 0.59 | 261.1x | 154 | 59% |
| 볼린저 밴드 돌파 n=93, k=1.7 |
19.2% | -43.2% | 0.83 | 0.44 | 145.0x | 68 | 48% |
| Donchian 채널 돌파 entryN=80, exitN=66 |
19.5% | -48.4% | 0.77 | 0.40 | 157.0x | 44 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=15, mult=3.3 |
13.8% | -49.3% | 0.67 | 0.28 | 38.9x | 98 | 41% |
| ADX / DI 방향성 period=34, threshold=12 |
13.7% | -56.1% | 0.64 | 0.24 | 37.7x | 244 | 43% |
| Parabolic SAR step=0.015, maxStep=0.38 |
9.4% | -68.0% | 0.45 | 0.14 | 12.6x | 461 | 54% |
| MACD fast=17, slow=45, signal=24 |
4.4% | -85.7% | 0.29 | 0.05 | 3.4x | 295 | 50% |
| Buy and hold | 14.5% | -92.9% | 0.53 | 0.16 | 46.9x | 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 20-day average price crosses above the 156-day average
- Sell — Sell (to cash) when the 20-day average falls below the 156-day average