Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Amplifon SpA backtest
10 trend-following strategies were compared on the full daily history of Amplifon SpA. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.4%, MDD -35.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.6%, drawdown -92.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.4%, MDD -35.0%, Sharpe 0.69, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 57.1%p (CAGR 14.4%, MDD -35.0%, exposure 63%).
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=19, slow=127 |
14.4% | -35.0% | 0.69 | 0.41 | 28.4x | 56 | 63% |
| Donchian 채널 돌파 entryN=66, exitN=70 |
13.4% | -59.1% | 0.64 | 0.23 | 22.9x | 32 | 62% |
| SMA 크로스오버 fast=29, slow=123 |
12.6% | -59.3% | 0.60 | 0.21 | 19.1x | 46 | 61% |
| ROC 모멘텀 n=97, threshold=-0.01 |
12.1% | -53.6% | 0.59 | 0.23 | 17.1x | 163 | 61% |
| Supertrend period=29, mult=4.2 |
10.2% | -64.1% | 0.53 | 0.16 | 11.1x | 85 | 57% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=15, mult=1.1 |
6.8% | -55.3% | 0.42 | 0.12 | 5.2x | 199 | 50% |
| 볼린저 밴드 돌파 n=50, k=1.2 |
6.4% | -64.4% | 0.40 | 0.10 | 4.7x | 165 | 48% |
| ADX / DI 방향성 period=28, threshold=30 |
3.2% | -18.4% | 0.40 | 0.17 | 2.2x | 22 | 6% |
| Parabolic SAR step=0.005, maxStep=0.28 |
5.1% | -62.8% | 0.33 | 0.08 | 3.4x | 207 | 56% |
| MACD fast=24, slow=38, signal=18 |
3.4% | -64.5% | 0.26 | 0.05 | 2.3x | 269 | 54% |
| Buy and hold | 8.6% | -92.1% | 0.41 | 0.09 | 7.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 19-day EMA crosses above the 127-day EMA
- Sell — Sell when the 19-day EMA falls below the 127-day EMA