Trend-Following Backtester · Guide · backtest 한국어
equity · IT
DiaSorin S.p.A. backtest
10 trend-following strategies were compared on the full daily history of DiaSorin S.p.A.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.9%, MDD -40.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.9%, drawdown -73.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.5%, MDD -40.7%, Sharpe 0.62, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 11.9%, MDD -40.7%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=38, slow=239 |
12.5% | -40.7% | 0.62 | 0.31 | 9.5x | 13 | 63% |
| SMA 크로스오버 fast=19, slow=330 |
11.9% | -40.7% | 0.60 | 0.29 | 8.6x | 13 | 62% |
| ROC 모멘텀 n=129, threshold=-0.08 |
9.2% | -65.9% | 0.47 | 0.14 | 5.3x | 93 | 75% |
| Donchian 채널 돌파 entryN=74, exitN=49 |
6.6% | -42.8% | 0.41 | 0.15 | 3.4x | 29 | 52% |
| Supertrend period=29, mult=5 |
3.7% | -69.0% | 0.28 | 0.05 | 2.0x | 57 | 59% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
1.2% | -28.0% | 0.18 | 0.04 | 1.3x | 10 | 6% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=26, mult=3.6 |
0.5% | -31.3% | 0.10 | 0.02 | 1.1x | 40 | 18% |
| ADX / DI 방향성 period=20, threshold=20 |
0.3% | -56.6% | 0.10 | 0.01 | 1.1x | 140 | 26% |
| MACD fast=12, slow=14, signal=16 |
-0.6% | -67.1% | 0.08 | -0.01 | 0.9x | 346 | 50% |
| Parabolic SAR step=0.03, maxStep=0.3 |
-2.4% | -71.7% | -0.00 | -0.03 | 0.6x | 511 | 52% |
| Buy and hold | 9.9% | -73.4% | 0.46 | 0.14 | 6.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 239-day EMA
- Sell — Sell when the 38-day EMA falls below the 239-day EMA