Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Assicurazioni Generali S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Assicurazioni Generali S.p.A.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.0%, MDD -47.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.7%, drawdown -80.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.0%, MDD -47.6%, Sharpe 0.25, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 33.0%p (CAGR 3.0%, MDD -47.6%, exposure 57%).
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=51, slow=204 |
3.0% | -47.6% | 0.25 | 0.06 | 3.3x | 61 | 57% |
| EMA 크로스오버 fast=54, slow=215 |
2.9% | -50.2% | 0.25 | 0.06 | 3.1x | 51 | 58% |
| Donchian 채널 돌파 entryN=64, exitN=93 |
1.1% | -72.7% | 0.15 | 0.02 | 1.6x | 71 | 64% |
| ADX / DI 방향성 period=24, threshold=36 |
0.2% | -15.3% | 0.06 | 0.01 | 1.1x | 8 | 1% |
| ROC 모멘텀 n=136, threshold=-0.02 |
-1.4% | -82.5% | 0.02 | -0.02 | 0.6x | 363 | 63% |
| 볼린저 밴드 돌파 n=54, k=2.1 |
-1.4% | -75.7% | -0.02 | -0.02 | 0.6x | 153 | 30% |
| Supertrend period=14, mult=5 |
-2.0% | -83.9% | -0.03 | -0.02 | 0.4x | 171 | 47% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-3.1% | -88.1% | -0.07 | -0.04 | 0.3x | 535 | 52% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=18, mult=2.5 |
-2.9% | -89.5% | -0.12 | -0.03 | 0.3x | 205 | 32% |
| MACD fast=22, slow=42, signal=14 |
-5.1% | -92.7% | -0.18 | -0.05 | 0.1x | 482 | 51% |
| Buy and hold | 3.7% | -80.6% | 0.27 | 0.05 | 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 51-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 51-day average falls below the 204-day average