Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Eni S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Eni S.p.A.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -79.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.3%, MDD -58.9%, Sharpe 0.27, 57% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=72, slow=186 |
3.3% | -58.9% | 0.27 | 0.06 | 2.7x | 45 | 57% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=25, mult=3 |
0.8% | -33.3% | 0.17 | 0.03 | 1.3x | 42 | 5% |
| Donchian 채널 돌파 entryN=41, exitN=66 |
1.3% | -57.9% | 0.16 | 0.02 | 1.5x | 70 | 62% |
| Supertrend period=9, mult=5 |
1.0% | -49.8% | 0.14 | 0.02 | 1.4x | 91 | 47% |
| EMA 크로스오버 fast=49, slow=183 |
0.4% | -76.4% | 0.11 | 0.01 | 1.1x | 57 | 56% |
| 볼린저 밴드 돌파 n=49, k=3.4 |
0.2% | -21.1% | 0.07 | 0.01 | 1.1x | 10 | 4% |
| ADX / DI 방향성 period=28, threshold=33 |
0.1% | -12.6% | 0.06 | 0.01 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=102, threshold=-0.08 |
-2.0% | -85.4% | 0.00 | -0.02 | 0.5x | 265 | 79% |
| MACD fast=10, slow=47, signal=15 |
-5.2% | -95.1% | -0.20 | -0.05 | 0.2x | 503 | 52% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-7.0% | -95.8% | -0.29 | -0.07 | 0.1x | 773 | 55% |
| Buy and hold | 4.9% | -79.2% | 0.31 | 0.06 | 4.4x | 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 186-day average
- Sell — Sell (to cash) when the 72-day average falls below the 186-day average