Trend-Following Backtester · Guide · backtest 한국어
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Italgas SpA backtest
10 trend-following strategies were compared on the full daily history of Italgas SpA. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.7%, drawdown -34.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -29.5%, Sharpe 0.43, 32% exposure.
CAGR reference leader: Supertrend — CAGR 5.7%, MDD -38.5%, exposure 60%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=55, k=2.3 |
4.5% | -29.5% | 0.43 | 0.15 | 1.5x | 28 | 32% |
| Donchian 채널 돌파 entryN=47, exitN=21 |
4.9% | -24.3% | 0.43 | 0.20 | 1.6x | 36 | 42% |
| Supertrend period=27, mult=4.3 |
5.7% | -38.5% | 0.42 | 0.15 | 1.7x | 34 | 60% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=27, mult=2.5 |
3.3% | -38.8% | 0.33 | 0.09 | 1.4x | 40 | 35% |
| MACD fast=24, slow=53, signal=19 |
3.7% | -37.8% | 0.32 | 0.10 | 1.4x | 84 | 50% |
| ADX / DI 방향성 period=18, threshold=33 |
1.6% | -12.0% | 0.30 | 0.13 | 1.2x | 14 | 6% |
| ROC 모멘텀 n=121, threshold=0.11 |
1.9% | -40.2% | 0.22 | 0.05 | 1.2x | 86 | 30% |
| SMA 크로스오버 fast=27, slow=110 |
1.7% | -57.6% | 0.18 | 0.03 | 1.2x | 28 | 58% |
| EMA 크로스오버 fast=22, slow=44 |
1.4% | -49.4% | 0.16 | 0.03 | 1.1x | 54 | 62% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.7% | -55.0% | 0.04 | -0.01 | 0.9x | 180 | 55% |
| Buy and hold | 8.7% | -34.7% | 0.47 | 0.25 | 2.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 55-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 55-day middle average