Trend-Following Backtester · Guide · backtest 한국어
equity · IT
NewPrinces S.p.A. backtest
10 trend-following strategies were compared on the full daily history of NewPrinces S.p.A.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.7%, MDD -21.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 15.7%, drawdown -41.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 17.9%, MDD -23.1%, Sharpe 0.89, 29% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 18.4%, MDD -23.9%, exposure 39%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 16.7%, MDD -21.5%, exposure 35%).
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=39, atrPeriod=12, mult=2.2 |
17.9% | -23.1% | 0.89 | 0.77 | 3.1x | 20 | 29% |
| ADX / DI 방향성 period=34, threshold=16 |
18.4% | -23.9% | 0.83 | 0.77 | 3.2x | 24 | 39% |
| 볼린저 밴드 돌파 n=46, k=1.7 |
16.7% | -21.5% | 0.80 | 0.78 | 2.9x | 34 | 35% |
| Donchian 채널 돌파 entryN=43, exitN=40 |
17.9% | -26.6% | 0.78 | 0.67 | 3.1x | 14 | 53% |
| EMA 크로스오버 fast=8, slow=150 |
18.2% | -27.5% | 0.76 | 0.66 | 3.1x | 16 | 52% |
| MACD fast=16, slow=52, signal=26 |
16.6% | -36.7% | 0.75 | 0.45 | 2.9x | 52 | 52% |
| ROC 모멘텀 n=120, threshold=0.09 |
15.3% | -23.5% | 0.72 | 0.65 | 2.6x | 40 | 40% |
| Supertrend period=21, mult=3.9 |
16.9% | -39.1% | 0.70 | 0.43 | 2.9x | 18 | 63% |
| SMA 크로스오버 fast=6, slow=173 |
14.9% | -29.0% | 0.67 | 0.51 | 2.6x | 16 | 49% |
| Parabolic SAR step=0.005, maxStep=0.24 |
12.1% | -44.1% | 0.57 | 0.27 | 2.2x | 49 | 54% |
| Buy and hold | 15.7% | -41.6% | 0.59 | 0.38 | 2.7x | 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 39-day average + 2.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 39-day average