Trend-Following Backtester · Guide · backtest 한국어
equity · IT
A2A S.p.A. backtest
10 trend-following strategies were compared on the full daily history of A2A S.p.A.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.8%, MDD -10.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.9%, drawdown -96.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.3%, MDD -47.0%, Sharpe 0.32, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 49.5%p (CAGR 0.8%, MDD -10.5%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=56, slow=370 |
4.3% | -47.0% | 0.32 | 0.09 | 3.1x | 15 | 57% |
| ROC 모멘텀 n=111, threshold=0.2 |
1.9% | -29.0% | 0.24 | 0.07 | 1.7x | 136 | 14% |
| Donchian 채널 돌파 entryN=89, exitN=54 |
2.6% | -52.3% | 0.24 | 0.05 | 2.0x | 40 | 41% |
| SMA 크로스오버 fast=53, slow=218 |
2.4% | -53.2% | 0.22 | 0.05 | 1.9x | 38 | 56% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
0.8% | -10.5% | 0.22 | 0.08 | 1.2x | 12 | 3% |
| Supertrend period=17, mult=2.7 |
-0.3% | -81.5% | 0.08 | -0.00 | 0.9x | 211 | 54% |
| MACD fast=14, slow=31, signal=15 |
-2.1% | -85.0% | -0.01 | -0.02 | 0.6x | 350 | 52% |
| ADX / DI 방향성 period=39, threshold=28 |
-0.1% | -16.3% | -0.04 | -0.01 | 1.0x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=9, mult=2.9 |
-1.3% | -55.9% | -0.06 | -0.02 | 0.7x | 86 | 14% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-3.9% | -83.9% | -0.09 | -0.05 | 0.3x | 494 | 52% |
| Buy and hold | -1.9% | -96.5% | 0.09 | -0.02 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 56-day EMA crosses above the 370-day EMA
- Sell — Sell when the 56-day EMA falls below the 370-day EMA