Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Hera S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Hera S.p.A.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.3%, MDD -36.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.2%, drawdown -72.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.3%, MDD -36.7%, Sharpe 0.46, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 6.3%, MDD -36.7%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=90, exitN=78 |
6.3% | -36.7% | 0.46 | 0.17 | 4.2x | 26 | 57% |
| SMA 크로스오버 fast=54, slow=179 |
6.2% | -37.6% | 0.43 | 0.17 | 4.1x | 30 | 60% |
| EMA 크로스오버 fast=53, slow=139 |
5.1% | -41.7% | 0.37 | 0.12 | 3.2x | 30 | 61% |
| ADX / DI 방향성 period=20, threshold=35 |
1.5% | -14.5% | 0.34 | 0.11 | 1.4x | 24 | 6% |
| ROC 모멘텀 n=169, threshold=-0.01 |
3.7% | -50.8% | 0.30 | 0.07 | 2.3x | 136 | 63% |
| 볼린저 밴드 돌파 n=53, k=2.8 |
2.1% | -30.5% | 0.27 | 0.07 | 1.6x | 38 | 18% |
| Supertrend period=22, mult=4.4 |
2.9% | -55.6% | 0.26 | 0.05 | 1.9x | 74 | 56% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=17, mult=2.9 |
0.9% | -44.2% | 0.14 | 0.02 | 1.2x | 72 | 24% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-5.0% | -74.3% | -0.18 | -0.07 | 0.3x | 428 | 54% |
| MACD fast=17, slow=33, signal=19 |
-5.5% | -78.3% | -0.21 | -0.07 | 0.3x | 291 | 52% |
| Buy and hold | 3.2% | -72.2% | 0.25 | 0.04 | 2.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 90 days
- Sell — Sell when price breaks below the lowest low of the last 78 days