Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Moncler SpA backtest
10 trend-following strategies were compared on the full daily history of Moncler SpA. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.1%, MDD -22.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.8%, drawdown -46.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.1%, MDD -22.4%, Sharpe 0.63, 33% exposure.
CAGR reference leader: Supertrend — CAGR 10.1%, MDD -30.6%, exposure 58%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 24.2%p (CAGR 9.1%, MDD -22.4%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=56, k=2.5 |
9.1% | -22.4% | 0.63 | 0.41 | 3.0x | 34 | 33% |
| Supertrend period=26, mult=5 |
10.1% | -30.6% | 0.54 | 0.33 | 3.4x | 34 | 58% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=13, mult=2.9 |
7.5% | -28.5% | 0.54 | 0.27 | 2.5x | 40 | 33% |
| SMA 크로스오버 fast=57, slow=126 |
9.3% | -51.9% | 0.49 | 0.18 | 3.1x | 24 | 59% |
| Donchian 채널 돌파 entryN=119, exitN=35 |
6.7% | -35.5% | 0.47 | 0.19 | 2.3x | 24 | 38% |
| EMA 크로스오버 fast=38, slow=72 |
6.3% | -47.2% | 0.39 | 0.13 | 2.2x | 38 | 58% |
| ADX / DI 방향성 period=23, threshold=25 |
3.7% | -15.1% | 0.39 | 0.24 | 1.6x | 28 | 15% |
| ROC 모멘텀 n=76, threshold=-0.02 |
4.9% | -49.9% | 0.32 | 0.10 | 1.8x | 118 | 60% |
| Parabolic SAR step=0.015, maxStep=0.12 |
0.2% | -36.1% | 0.12 | 0.01 | 1.0x | 200 | 53% |
| MACD fast=18, slow=51, signal=17 |
-4.0% | -56.6% | -0.08 | -0.07 | 0.6x | 144 | 49% |
| Buy and hold | 9.8% | -46.6% | 0.45 | 0.21 | 3.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 56-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 56-day middle average