Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Banco di Desio e della Brianza S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Banco di Desio e della Brianza S.p.A.. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.1%, MDD -45.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.2%, drawdown -84.4%).
Sharpe leader (same as main): Supertrend — CAGR 10.4%, MDD -63.3%, Sharpe 0.56, 50% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 21.1%p (CAGR 9.1%, MDD -45.3%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=27, mult=5 |
10.4% | -63.3% | 0.56 | 0.16 | 22.2x | 61 | 50% |
| SMA 크로스오버 fast=29, slow=100 |
10.0% | -64.0% | 0.54 | 0.16 | 19.4x | 83 | 48% |
| Donchian 채널 돌파 entryN=74, exitN=53 |
10.0% | -56.0% | 0.53 | 0.18 | 19.4x | 49 | 50% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=27, mult=3.5 |
7.4% | -44.9% | 0.53 | 0.16 | 9.2x | 57 | 20% |
| EMA 크로스오버 fast=39, slow=200 |
9.1% | -45.3% | 0.49 | 0.20 | 15.1x | 43 | 53% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
6.9% | -42.7% | 0.48 | 0.16 | 7.9x | 75 | 24% |
| ADX / DI 방향성 period=40, threshold=19 |
5.3% | -28.3% | 0.45 | 0.19 | 5.0x | 73 | 16% |
| ROC 모멘텀 n=100, threshold=0.04 |
6.6% | -59.2% | 0.41 | 0.11 | 7.4x | 257 | 41% |
| Parabolic SAR step=0.005, maxStep=0.08 |
4.6% | -66.7% | 0.32 | 0.07 | 4.1x | 221 | 51% |
| MACD fast=19, slow=59, signal=17 |
-0.3% | -80.9% | 0.09 | -0.00 | 0.9x | 353 | 50% |
| Buy and hold | 8.2% | -84.4% | 0.41 | 0.10 | 11.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 27-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)