Trend-Following Backtester · Guide · backtest 한국어
equity · IT
doValue S.p.A. backtest
10 trend-following strategies were compared on the full daily history of doValue S.p.A.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.8%, MDD -8.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -29.1%, drawdown -98.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.0%, MDD -28.5%, Sharpe 0.35, 7% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 32.0%p higher than buy and hold, while drawdown improves by 70.0%p (CAGR 0.8%, MDD -8.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=40, k=3.5 |
3.0% | -28.5% | 0.35 | 0.10 | 1.3x | 6 | 7% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=11, mult=4 |
0.8% | -8.7% | 0.26 | 0.09 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=117, exitN=19 |
1.9% | -21.1% | 0.20 | 0.09 | 1.2x | 10 | 12% |
| MACD fast=13, slow=30, signal=5 |
-0.8% | -70.5% | 0.14 | -0.01 | 0.9x | 188 | 50% |
| Parabolic SAR step=0.025, maxStep=0.3 |
-1.0% | -67.8% | 0.12 | -0.01 | 0.9x | 218 | 49% |
| ROC 모멘텀 n=80, threshold=0.09 |
-1.7% | -45.1% | 0.01 | -0.04 | 0.9x | 52 | 26% |
| ADX / DI 방향성 period=17, threshold=23 |
-2.0% | -40.4% | -0.02 | -0.05 | 0.8x | 72 | 22% |
| SMA 크로스오버 fast=22, slow=55 |
-4.4% | -56.6% | -0.02 | -0.08 | 0.7x | 47 | 43% |
| EMA 크로스오버 fast=11, slow=52 |
-7.5% | -64.4% | -0.20 | -0.12 | 0.5x | 48 | 38% |
| Supertrend period=17, mult=2.7 |
-10.9% | -73.2% | -0.27 | -0.15 | 0.4x | 72 | 48% |
| Buy and hold | -29.1% | -98.5% | -0.38 | -0.29 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 40-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 40-day middle average