Trend-Following Backtester · Guide · backtest 한국어

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Moltiply Group S.p.A. backtest

10 trend-following strategies were compared on the full daily history of Moltiply Group S.p.A.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.5%, MDD -42.1%).

Data 2007-06-06 ~ 2026-07-31daily bars 4,863 (19.2 years)Costs 0.5%Venue MILMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 9.8%, drawdown -66.2%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -42.1%, Sharpe 0.53, 66% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 11.5%, MDD -42.1%, exposure 66%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=24, exitN=42
11.5%-42.1%0.530.278.1x5366%
SMA 크로스오버
fast=56, slow=216
9.4%-46.1%0.480.205.6x2258%
EMA 크로스오버
fast=41, slow=165
8.9%-45.9%0.460.195.2x2660%
ROC 모멘텀
n=116, threshold=-0.04
7.2%-47.3%0.390.153.8x16564%
Parabolic SAR
step=0.005, maxStep=0.36
5.3%-56.4%0.330.092.7x14651%
Supertrend
period=25, mult=4.7
4.9%-49.4%0.320.102.5x5955%
Keltner 채널 돌파
emaPeriod=28, atrPeriod=20, mult=2.1
2.2%-38.5%0.210.061.5x11228%
볼린저 밴드 돌파
n=36, k=1.2
1.6%-50.5%0.180.031.4x16841%
MACD
fast=18, slow=51, signal=17
0.3%-59.6%0.140.011.1x20653%
ADX / DI 방향성
period=29, threshold=9
-0.1%-58.1%0.12-0.001.0x26154%
Buy and hold9.8%-66.2%0.440.156.0x1100%
1x 10x 2008 2011 2014 2017 2020 2023 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -33% -50% -66% 2008 2011 2014 2017 2020 2023 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -42.1% (2021-09-02 → 2026-05-18), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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