Trend-Following Backtester · Guide · backtest 한국어
equity · IT
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 11.6%, MDD -42.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.0%, drawdown -66.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.6%, MDD -42.1%, Sharpe 0.54, 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 11.6%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=24, exitN=42 |
11.6% | -42.1% | 0.54 | 0.28 | 8.3x | 53 | 66% |
| SMA 크로스오버 fast=56, slow=216 |
9.3% | -46.1% | 0.47 | 0.20 | 5.5x | 23 | 58% |
| EMA 크로스오버 fast=41, slow=165 |
8.7% | -45.9% | 0.45 | 0.19 | 5.0x | 27 | 60% |
| ROC 모멘텀 n=116, threshold=-0.04 |
7.4% | -47.3% | 0.40 | 0.16 | 3.9x | 165 | 65% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.2% | -56.4% | 0.33 | 0.09 | 2.6x | 147 | 51% |
| Supertrend period=25, mult=4.7 |
5.1% | -49.4% | 0.32 | 0.10 | 2.6x | 59 | 55% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=20, mult=2.1 |
2.0% | -39.5% | 0.20 | 0.05 | 1.5x | 114 | 28% |
| 볼린저 밴드 돌파 n=36, k=1.2 |
1.4% | -50.5% | 0.17 | 0.03 | 1.3x | 170 | 41% |
| MACD fast=18, slow=51, signal=17 |
0.1% | -59.6% | 0.13 | 0.00 | 1.0x | 208 | 53% |
| ADX / DI 방향성 period=29, threshold=9 |
0.0% | -58.1% | 0.12 | 0.00 | 1.0x | 261 | 54% |
| Buy and hold | 10.0% | -66.2% | 0.44 | 0.15 | 6.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 24 days
- Sell — Sell when price breaks below the lowest low of the last 42 days