Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Banca IFIS S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Banca IFIS S.p.A.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.8%, MDD -65.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.6%, drawdown -88.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.8%, MDD -65.0%, Sharpe 0.65, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 14.8%, MDD -65.0%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=36, slow=213 |
14.8% | -65.0% | 0.65 | 0.23 | 73.8x | 36 | 57% |
| Donchian 채널 돌파 entryN=103, exitN=71 |
12.5% | -69.5% | 0.58 | 0.18 | 39.0x | 40 | 51% |
| SMA 크로스오버 fast=56, slow=182 |
12.2% | -74.2% | 0.56 | 0.16 | 36.3x | 46 | 57% |
| ADX / DI 방향성 period=25, threshold=18 |
7.9% | -34.7% | 0.48 | 0.23 | 10.8x | 174 | 26% |
| 볼린저 밴드 돌파 n=43, k=1.8 |
7.1% | -55.8% | 0.42 | 0.13 | 8.4x | 160 | 35% |
| ROC 모멘텀 n=148, threshold=-0.04 |
8.1% | -91.2% | 0.42 | 0.09 | 11.3x | 230 | 64% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=20, mult=3.8 |
6.1% | -52.5% | 0.39 | 0.12 | 6.3x | 94 | 29% |
| MACD fast=6, slow=23, signal=8 |
6.5% | -95.9% | 0.20 | 0.07 | 7.0x | 809 | 49% |
| Supertrend period=15, mult=4.8 |
-2.3% | -91.2% | 0.16 | -0.03 | 0.5x | 160 | 50% |
| Parabolic SAR step=0.025, maxStep=0.34 |
-6.4% | -91.4% | 0.02 | -0.07 | 0.1x | 655 | 51% |
| Buy and hold | 10.6% | -88.3% | 0.30 | 0.12 | 22.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 36-day EMA crosses above the 213-day EMA
- Sell — Sell when the 36-day EMA falls below the 213-day EMA