Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Infrastrutture Wireless Italiane S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Infrastrutture Wireless Italiane S.p.A.. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 4.7%, MDD -27.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.8%, drawdown -52.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.0%, MDD -12.6%, Sharpe 0.36, 14% exposure.
CAGR reference leader: Supertrend — CAGR 4.7%, MDD -27.2%, exposure 55%.
Return/drawdown alternative: Supertrend — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 39.5%p (CAGR 4.7%, MDD -27.2%, exposure 55%).
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=20, k=2.7 |
3.0% | -12.6% | 0.36 | 0.24 | 1.4x | 36 | 14% |
| Supertrend period=12, mult=3.2 |
4.7% | -27.2% | 0.35 | 0.17 | 1.7x | 54 | 55% |
| SMA 크로스오버 fast=38, slow=268 |
2.1% | -46.1% | 0.20 | 0.04 | 1.3x | 20 | 54% |
| ADX / DI 방향성 period=18, threshold=35 |
1.0% | -10.8% | 0.18 | 0.09 | 1.1x | 12 | 6% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=24, mult=2.2 |
0.8% | -22.3% | 0.13 | 0.04 | 1.1x | 36 | 13% |
| EMA 크로스오버 fast=35, slow=217 |
-0.3% | -52.0% | 0.08 | -0.01 | 1.0x | 24 | 58% |
| MACD fast=10, slow=46, signal=9 |
-1.7% | -47.5% | -0.02 | -0.04 | 0.8x | 190 | 49% |
| Donchian 채널 돌파 entryN=65, exitN=55 |
-2.1% | -51.6% | -0.04 | -0.04 | 0.8x | 22 | 48% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.4% | -53.1% | -0.06 | -0.05 | 0.8x | 104 | 52% |
| ROC 모멘텀 n=108, threshold=-0.04 |
-4.5% | -59.3% | -0.14 | -0.08 | 0.6x | 114 | 67% |
| Buy and hold | 3.8% | -52.1% | 0.27 | 0.07 | 1.5x | 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 20-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 20-day middle average