Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Vivendi SE backtest
10 trend-following strategies were compared on the full daily history of Vivendi SE. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -4.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.9%, drawdown -97.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.3%, MDD -4.4%, Sharpe 0.17, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 92.7%p (CAGR 0.3%, MDD -4.4%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=29, threshold=34 |
0.3% | -4.4% | 0.17 | 0.06 | 1.1x | 6 | 1% |
| Donchian 채널 돌파 entryN=119, exitN=124 |
-0.6% | -52.5% | 0.04 | -0.01 | 0.8x | 22 | 48% |
| ROC 모멘텀 n=193, threshold=-0.11 |
-1.6% | -66.3% | 0.01 | -0.02 | 0.7x | 134 | 66% |
| EMA 크로스오버 fast=55, slow=128 |
-1.3% | -58.0% | -0.00 | -0.02 | 0.7x | 44 | 49% |
| SMA 크로스오버 fast=16, slow=205 |
-2.1% | -65.7% | -0.04 | -0.03 | 0.6x | 68 | 49% |
| Supertrend period=8, mult=3.8 |
-4.1% | -80.5% | -0.13 | -0.05 | 0.3x | 128 | 51% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=16, mult=3.4 |
-1.1% | -36.7% | -0.18 | -0.03 | 0.7x | 22 | 4% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-5.7% | -89.1% | -0.18 | -0.06 | 0.2x | 230 | 52% |
| 볼린저 밴드 돌파 n=58, k=2.3 |
-3.2% | -70.1% | -0.22 | -0.05 | 0.4x | 84 | 24% |
| MACD fast=17, slow=53, signal=17 |
-7.9% | -90.8% | -0.25 | -0.09 | 0.1x | 298 | 52% |
| Buy and hold | -10.9% | -97.1% | -0.07 | -0.11 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 29-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)