Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Azimut Holding Spa backtest
10 trend-following strategies were compared on the full daily history of Azimut Holding Spa. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.8%, MDD -38.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 11.6%, drawdown -78.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.8%, MDD -38.0%, Sharpe 0.74, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 14.8%, MDD -38.0%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=95, exitN=59 |
14.8% | -38.0% | 0.74 | 0.39 | 21.3x | 33 | 55% |
| EMA 크로스오버 fast=22, slow=74 |
14.8% | -51.4% | 0.70 | 0.29 | 21.1x | 53 | 61% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=14, mult=3.6 |
10.8% | -41.7% | 0.66 | 0.26 | 9.7x | 55 | 39% |
| 볼린저 밴드 돌파 n=80, k=1.1 |
12.2% | -48.3% | 0.66 | 0.25 | 12.7x | 89 | 51% |
| ROC 모멘텀 n=77, threshold=-0.03 |
14.2% | -64.7% | 0.66 | 0.22 | 19.0x | 157 | 65% |
| Supertrend period=25, mult=4 |
12.1% | -55.9% | 0.61 | 0.22 | 12.6x | 89 | 56% |
| SMA 크로스오버 fast=7, slow=94 |
12.1% | -54.3% | 0.60 | 0.22 | 12.5x | 101 | 61% |
| Parabolic SAR step=0.005, maxStep=0.18 |
6.6% | -46.7% | 0.39 | 0.14 | 4.1x | 191 | 55% |
| MACD fast=23, slow=51, signal=14 |
6.1% | -52.2% | 0.37 | 0.12 | 3.7x | 237 | 54% |
| ADX / DI 방향성 period=31, threshold=15 |
4.4% | -46.6% | 0.34 | 0.09 | 2.6x | 166 | 31% |
| Buy and hold | 11.6% | -78.3% | 0.48 | 0.15 | 11.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 95 days
- Sell — Sell when price breaks below the lowest low of the last 59 days