Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Banca Monte dei Paschi di Siena S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Banca Monte dei Paschi di Siena S.p.A.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -2.5%, MDD -70.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -30.1%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.8%, MDD -83.8%, Sharpe 0.23, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 32.9%p higher than buy and hold, while drawdown improves by 16.2%p (CAGR -2.5%, MDD -70.7%, exposure 20%).
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=72, slow=164 |
2.8% | -83.8% | 0.23 | 0.03 | 2.1x | 35 | 39% |
| EMA 크로스오버 fast=15, slow=196 |
0.8% | -75.8% | 0.14 | 0.01 | 1.2x | 41 | 31% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-1.9% | -83.4% | 0.09 | -0.02 | 0.6x | 504 | 44% |
| ROC 모멘텀 n=124, threshold=0.09 |
-0.6% | -84.4% | 0.08 | -0.01 | 0.9x | 209 | 27% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=11, mult=2.3 |
-1.9% | -71.0% | 0.02 | -0.03 | 0.6x | 113 | 18% |
| 볼린저 밴드 돌파 n=36, k=2.3 |
-2.5% | -70.7% | -0.00 | -0.04 | 0.5x | 103 | 20% |
| Supertrend period=29, mult=1.8 |
-7.1% | -96.5% | -0.10 | -0.07 | 0.1x | 353 | 43% |
| ADX / DI 방향성 period=22, threshold=12 |
-6.7% | -92.6% | -0.11 | -0.07 | 0.2x | 327 | 37% |
| Donchian 채널 돌파 entryN=23, exitN=48 |
-12.8% | -99.4% | -0.18 | -0.13 | 0.0x | 87 | 58% |
| MACD fast=5, slow=32, signal=17 |
-17.8% | -99.8% | -0.31 | -0.18 | 0.0x | 518 | 53% |
| Buy and hold | -30.1% | -100.0% | -0.43 | -0.30 | 0.0x | 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 72-day average price crosses above the 164-day average
- Sell — Sell (to cash) when the 72-day average falls below the 164-day average