Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Brunello Cucinelli S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Brunello Cucinelli S.p.A.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.2%, drawdown -49.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -44.5%, Sharpe 0.55, 56% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=11, slow=101 |
10.5% | -44.5% | 0.55 | 0.24 | 4.1x | 51 | 56% |
| Supertrend period=9, mult=4.8 |
8.9% | -56.6% | 0.50 | 0.16 | 3.4x | 45 | 51% |
| Donchian 채널 돌파 entryN=73, exitN=56 |
8.6% | -42.2% | 0.49 | 0.20 | 3.2x | 26 | 47% |
| EMA 크로스오버 fast=56, slow=92 |
8.8% | -50.5% | 0.48 | 0.18 | 3.3x | 24 | 56% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=12, mult=1.7 |
6.6% | -40.7% | 0.42 | 0.16 | 2.5x | 88 | 37% |
| 볼린저 밴드 돌파 n=43, k=1.2 |
5.2% | -43.4% | 0.35 | 0.12 | 2.1x | 100 | 41% |
| ROC 모멘텀 n=108, threshold=0.09 |
4.1% | -43.8% | 0.30 | 0.09 | 1.8x | 126 | 43% |
| MACD fast=18, slow=26, signal=14 |
3.9% | -48.7% | 0.28 | 0.08 | 1.7x | 213 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
2.7% | -42.9% | 0.23 | 0.06 | 1.5x | 247 | 51% |
| ADX / DI 방향성 period=22, threshold=21 |
1.8% | -31.2% | 0.20 | 0.06 | 1.3x | 70 | 21% |
| Buy and hold | 15.2% | -49.4% | 0.60 | 0.31 | 7.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 11-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 11-day average falls below the 101-day average