Trend-Following Backtester · Guide · backtest 한국어
equity · IT
ERG S.p.A. backtest
10 trend-following strategies were compared on the full daily history of ERG S.p.A.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.0%, MDD -23.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.5%, drawdown -82.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.0%, MDD -23.9%, Sharpe 0.60, 8% exposure.
CAGR reference leader: Supertrend — CAGR 6.7%, MDD -64.7%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 58.7%p (CAGR 5.0%, MDD -23.9%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=62, threshold=18 |
5.0% | -23.9% | 0.60 | 0.21 | 3.9x | 14 | 8% |
| Supertrend period=25, mult=5 |
6.7% | -64.7% | 0.43 | 0.10 | 6.2x | 62 | 47% |
| EMA 크로스오버 fast=41, slow=117 |
6.0% | -68.3% | 0.37 | 0.09 | 5.1x | 49 | 55% |
| SMA 크로스오버 fast=26, slow=193 |
5.6% | -69.9% | 0.36 | 0.08 | 4.6x | 55 | 56% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=18, mult=4 |
3.6% | -45.1% | 0.35 | 0.08 | 2.7x | 46 | 17% |
| Donchian 채널 돌파 entryN=78, exitN=19 |
4.2% | -41.2% | 0.34 | 0.10 | 3.2x | 78 | 30% |
| ROC 모멘텀 n=166, threshold=0.11 |
3.8% | -47.3% | 0.30 | 0.08 | 2.9x | 194 | 37% |
| 볼린저 밴드 돌파 n=42, k=2.8 |
2.8% | -40.2% | 0.28 | 0.07 | 2.2x | 64 | 19% |
| MACD fast=26, slow=73, signal=17 |
0.7% | -72.3% | 0.13 | 0.01 | 1.2x | 274 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
0.0% | -70.4% | 0.11 | 0.00 | 1.0x | 252 | 52% |
| Buy and hold | 6.5% | -82.7% | 0.36 | 0.08 | 5.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 62-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)