Trend-Following Backtester · Guide · backtest 한국어
equity · IT
B.F. S.p.A. backtest
10 trend-following strategies were compared on the full daily history of B.F. S.p.A.. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 13.7%, drawdown -31.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.5%, MDD -8.2%, Sharpe 0.74, 5% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 13.7%, MDD -26.0%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=8, mult=2.8 |
4.5% | -8.2% | 0.74 | 0.55 | 1.5x | 9 | 5% |
| 볼린저 밴드 돌파 n=24, k=3 |
6.8% | -16.0% | 0.70 | 0.42 | 1.8x | 25 | 13% |
| ROC 모멘텀 Hold-like · Exposure 97% n=63, threshold=-0.12 |
13.7% | -26.0% | 0.67 | 0.53 | 3.2x | 5 | 97% |
| SMA 크로스오버 fast=69, slow=179 |
11.4% | -31.6% | 0.67 | 0.36 | 2.7x | 17 | 56% |
| EMA 크로스오버 fast=54, slow=174 |
7.9% | -31.6% | 0.49 | 0.25 | 2.0x | 15 | 59% |
| Donchian 채널 돌파 entryN=69, exitN=47 |
6.6% | -31.6% | 0.48 | 0.21 | 1.8x | 19 | 51% |
| Supertrend period=21, mult=4.6 |
6.1% | -41.5% | 0.40 | 0.15 | 1.7x | 19 | 70% |
| ADX / DI 방향성 period=16, threshold=38 |
1.6% | -6.5% | 0.37 | 0.25 | 1.2x | 7 | 3% |
| Parabolic SAR step=0.005, maxStep=0.16 |
0.2% | -46.7% | 0.09 | 0.00 | 1.0x | 67 | 53% |
| MACD fast=19, slow=56, signal=18 |
-0.1% | -49.9% | 0.08 | -0.00 | 1.0x | 103 | 44% |
| Buy and hold | 13.7% | -31.6% | 0.65 | 0.43 | 3.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 14-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average