Trend-Following Backtester · Guide · backtest 한국어
equity · IT
PharmaNutra S.p.A. backtest
10 trend-following strategies were compared on the full daily history of PharmaNutra 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 Supertrend (CAGR 20.4%, MDD -23.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 21.7%, drawdown -50.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.1%, MDD -30.7%, Sharpe 1.14, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 19.8%p (CAGR 20.4%, MDD -23.8%, exposure 59%).
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=42, exitN=28 |
25.1% | -30.7% | 1.14 | 0.82 | 7.5x | 16 | 56% |
| 볼린저 밴드 돌파 n=72, k=2.3 |
19.8% | -23.1% | 1.06 | 0.85 | 5.1x | 20 | 40% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=24, mult=1.2 |
19.8% | -28.3% | 0.98 | 0.70 | 5.1x | 36 | 54% |
| Supertrend period=22, mult=2.4 |
20.4% | -23.8% | 0.97 | 0.86 | 5.4x | 50 | 59% |
| EMA 크로스오버 fast=21, slow=84 |
18.9% | -38.9% | 0.91 | 0.49 | 4.8x | 23 | 61% |
| SMA 크로스오버 fast=73, slow=210 |
19.5% | -45.5% | 0.89 | 0.43 | 5.0x | 9 | 61% |
| ADX / DI 방향성 period=19, threshold=31 |
11.7% | -20.0% | 0.88 | 0.59 | 2.7x | 30 | 19% |
| ROC 모멘텀 n=75, threshold=-0.04 |
16.5% | -45.6% | 0.76 | 0.36 | 4.0x | 81 | 71% |
| Parabolic SAR step=0.005, maxStep=0.28 |
14.1% | -37.2% | 0.72 | 0.38 | 3.3x | 66 | 56% |
| MACD fast=12, slow=55, signal=8 |
5.4% | -31.0% | 0.38 | 0.18 | 1.6x | 154 | 45% |
| Buy and hold | 21.7% | -50.4% | 0.82 | 0.43 | 5.9x | 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 42 days
- Sell — Sell when price breaks below the lowest low of the last 28 days