Trend-Following Backtester · Guide · backtest 한국어
equity · IT
SECO S.p.A. backtest
10 trend-following strategies were compared on the full daily history of SECO S.p.A.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 25.8%, MDD -15.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.7%, drawdown -84.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 25.8%, MDD -15.3%, Sharpe 1.13, 20% exposure.
CAGR reference leader: Supertrend — CAGR 26.9%, MDD -51.3%, exposure 45%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.1%p higher than buy and hold, while drawdown improves by 69.0%p (CAGR 25.8%, MDD -15.3%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=12, threshold=32 |
25.8% | -15.3% | 1.13 | 1.68 | 3.5x | 31 | 20% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
14.2% | -20.4% | 0.90 | 0.70 | 2.0x | 6 | 11% |
| Supertrend period=25, mult=4.6 |
26.9% | -51.3% | 0.90 | 0.52 | 3.6x | 11 | 45% |
| ROC 모멘텀 n=75, threshold=0.1 |
21.5% | -45.0% | 0.83 | 0.48 | 2.9x | 29 | 30% |
| Donchian 채널 돌파 entryN=95, exitN=38 |
20.0% | -36.6% | 0.82 | 0.55 | 2.7x | 5 | 24% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=20, mult=2.8 |
10.9% | -26.7% | 0.74 | 0.41 | 1.7x | 11 | 9% |
| SMA 크로스오버 fast=42, slow=77 |
20.0% | -64.3% | 0.74 | 0.31 | 2.7x | 15 | 43% |
| EMA 크로스오버 fast=44, slow=72 |
16.1% | -60.3% | 0.64 | 0.27 | 2.2x | 13 | 38% |
| Parabolic SAR step=0.03, maxStep=0.16 |
4.2% | -67.8% | 0.29 | 0.06 | 1.3x | 139 | 49% |
| MACD fast=17, slow=36, signal=18 |
3.7% | -58.5% | 0.27 | 0.06 | 1.2x | 59 | 49% |
| Buy and hold | 4.7% | -84.3% | 0.32 | 0.06 | 1.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 12-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)