Trend-Following Backtester · Guide · backtest 한국어
equity · GR
EUROBANK S.A. backtest
10 trend-following strategies were compared on the full daily history of EUROBANK S.A.. 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 3.7%, MDD -36.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.1%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.7%, MDD -36.9%, Sharpe 0.50, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.0%, MDD -78.6%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.8%p higher than buy and hold, while drawdown improves by 63.1%p (CAGR 3.7%, MDD -36.9%, exposure 5%).
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=36, threshold=34 |
3.7% | -36.9% | 0.50 | 0.10 | 4.4x | 16 | 5% |
| EMA 크로스오버 fast=34, slow=279 |
7.8% | -73.1% | 0.43 | 0.11 | 20.7x | 39 | 41% |
| SMA 크로스오버 fast=45, slow=182 |
8.0% | -78.6% | 0.41 | 0.10 | 22.4x | 51 | 47% |
| ROC 모멘텀 n=161, threshold=0 |
6.6% | -81.6% | 0.37 | 0.08 | 13.4x | 223 | 47% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=26, mult=2.4 |
3.9% | -88.1% | 0.28 | 0.04 | 4.8x | 238 | 25% |
| Donchian 채널 돌파 entryN=41, exitN=20 |
2.4% | -84.0% | 0.23 | 0.03 | 2.6x | 169 | 38% |
| 볼린저 밴드 돌파 n=27, k=1.7 |
2.3% | -91.1% | 0.23 | 0.02 | 2.5x | 302 | 31% |
| Supertrend period=8, mult=4 |
1.4% | -95.1% | 0.22 | 0.01 | 1.7x | 271 | 49% |
| MACD fast=18, slow=42, signal=19 |
-5.4% | -99.7% | 0.10 | -0.05 | 0.1x | 425 | 50% |
| Parabolic SAR step=0.025, maxStep=0.22 |
-6.0% | -99.8% | 0.04 | -0.06 | 0.1x | 815 | 50% |
| Buy and hold | -15.1% | -100.0% | 0.04 | -0.15 | 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, 36-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)