Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Nexi S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Nexi S.p.A.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.4%, MDD -11.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.9%, drawdown -85.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.4%, MDD -11.7%, Sharpe 0.61, 3% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.3%p higher than buy and hold, while drawdown improves by 74.0%p (CAGR 4.4%, MDD -11.7%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=19, mult=3.8 |
4.4% | -11.7% | 0.61 | 0.38 | 1.4x | 2 | 3% |
| 볼린저 밴드 돌파 n=33, k=3.1 |
3.4% | -29.0% | 0.37 | 0.12 | 1.3x | 7 | 6% |
| Donchian 채널 돌파 entryN=83, exitN=4 |
2.1% | -25.5% | 0.26 | 0.08 | 1.2x | 14 | 8% |
| ADX / DI 방향성 period=19, threshold=24 |
2.2% | -35.4% | 0.24 | 0.06 | 1.2x | 20 | 10% |
| SMA 크로스오버 fast=57, slow=132 |
1.2% | -54.7% | 0.17 | 0.02 | 1.1x | 15 | 37% |
| EMA 크로스오버 fast=51, slow=145 |
1.3% | -47.4% | 0.17 | 0.03 | 1.1x | 9 | 30% |
| Supertrend period=12, mult=3.2 |
-0.5% | -64.9% | 0.09 | -0.01 | 1.0x | 45 | 41% |
| ROC 모멘텀 n=115, threshold=0.1 |
-3.2% | -54.0% | -0.06 | -0.06 | 0.8x | 45 | 20% |
| MACD fast=13, slow=24, signal=13 |
-5.3% | -72.6% | -0.08 | -0.07 | 0.7x | 117 | 48% |
| Parabolic SAR step=0.02, maxStep=0.3 |
-5.6% | -76.0% | -0.11 | -0.07 | 0.7x | 167 | 50% |
| Buy and hold | -8.9% | -85.6% | -0.06 | -0.10 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 22-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 22-day average