Trend-Following Backtester · Guide · backtest 한국어
equity · IT
MARR SpA backtest
10 trend-following strategies were compared on the full daily history of MARR SpA. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -10.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.2%, drawdown -76.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.3%, MDD -41.2%, Sharpe 0.37, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 35.2%p (CAGR 0.0%, MDD -10.4%, exposure 1%).
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=57, slow=177 |
5.3% | -41.2% | 0.37 | 0.13 | 3.0x | 30 | 50% |
| EMA 크로스오버 fast=32, slow=272 |
4.8% | -33.5% | 0.36 | 0.14 | 2.7x | 18 | 50% |
| Donchian 채널 돌파 entryN=98, exitN=79 |
3.1% | -40.6% | 0.26 | 0.08 | 1.9x | 24 | 46% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=15, mult=4 |
1.5% | -31.0% | 0.19 | 0.05 | 1.4x | 32 | 21% |
| ROC 모멘텀 n=143, threshold=0.01 |
-0.0% | -61.5% | 0.09 | -0.00 | 1.0x | 150 | 49% |
| ADX / DI 방향성 period=37, threshold=24 |
0.0% | -10.4% | 0.02 | 0.00 | 1.0x | 4 | 1% |
| Supertrend period=28, mult=4.6 |
-2.2% | -71.5% | -0.03 | -0.03 | 0.6x | 66 | 54% |
| 볼린저 밴드 돌파 n=41, k=1.8 |
-1.5% | -50.4% | -0.03 | -0.03 | 0.7x | 112 | 32% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.5% | -68.5% | -0.10 | -0.05 | 0.5x | 174 | 51% |
| MACD fast=18, slow=47, signal=16 |
-6.6% | -82.0% | -0.28 | -0.08 | 0.2x | 251 | 50% |
| Buy and hold | -0.2% | -76.3% | 0.13 | -0.00 | 1.0x | 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 57-day average price crosses above the 177-day average
- Sell — Sell (to cash) when the 57-day average falls below the 177-day average