Trend-Following Backtester · Guide · backtest 한국어
equity · IT
LU-VE S.p.A. backtest
10 trend-following strategies were compared on the full daily history of LU-VE S.p.A.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.4%, MDD -28.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.9%, drawdown -46.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.5%, MDD -42.4%, Sharpe 0.80, 63% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 3.8%p (CAGR 16.4%, MDD -28.3%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=117 |
18.5% | -42.4% | 0.80 | 0.44 | 6.6x | 19 | 63% |
| Donchian 채널 돌파 entryN=31, exitN=56 |
16.4% | -28.3% | 0.72 | 0.58 | 5.4x | 22 | 67% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=16, mult=3.1 |
5.7% | -9.6% | 0.69 | 0.59 | 1.9x | 10 | 6% |
| 볼린저 밴드 돌파 n=46, k=2.5 |
9.5% | -25.9% | 0.63 | 0.37 | 2.7x | 32 | 28% |
| Supertrend period=29, mult=3.9 |
12.8% | -44.9% | 0.63 | 0.28 | 3.8x | 38 | 59% |
| ROC 모멘텀 n=126, threshold=-0.09 |
14.2% | -46.1% | 0.62 | 0.31 | 4.4x | 57 | 77% |
| ADX / DI 방향성 period=32, threshold=18 |
9.7% | -20.3% | 0.60 | 0.48 | 2.8x | 50 | 33% |
| EMA 크로스오버 fast=25, slow=126 |
12.5% | -37.4% | 0.60 | 0.34 | 3.7x | 21 | 61% |
| Parabolic SAR step=0.005, maxStep=0.18 |
5.2% | -51.2% | 0.34 | 0.10 | 1.8x | 91 | 53% |
| MACD fast=16, slow=41, signal=14 |
3.9% | -39.7% | 0.28 | 0.10 | 1.5x | 133 | 48% |
| Buy and hold | 15.9% | -46.3% | 0.63 | 0.34 | 5.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 117-day average
- Sell — Sell (to cash) when the 51-day average falls below the 117-day average