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.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 21.9%, MDD -29.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 19.6%, drawdown -50.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.6%, MDD -30.7%, Sharpe 1.13, 55% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 19.8%p (CAGR 21.9%, MDD -29.2%, exposure 63%).
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 |
24.6% | -30.7% | 1.13 | 0.80 | 7.5x | 16 | 55% |
| Supertrend period=33, mult=3.1 |
21.9% | -29.2% | 1.01 | 0.75 | 6.2x | 34 | 63% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=37, mult=1.9 |
18.9% | -29.3% | 0.96 | 0.64 | 4.9x | 28 | 49% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
17.5% | -23.3% | 0.94 | 0.75 | 4.4x | 32 | 43% |
| ADX / DI 방향성 period=18, threshold=33 |
11.8% | -16.3% | 0.90 | 0.73 | 2.8x | 28 | 18% |
| EMA 크로스오버 fast=39, slow=60 |
17.2% | -39.7% | 0.85 | 0.43 | 4.3x | 20 | 60% |
| SMA 크로스오버 fast=71, slow=218 |
17.8% | -44.8% | 0.83 | 0.40 | 4.5x | 9 | 62% |
| ROC 모멘텀 n=51, threshold=0.05 |
12.6% | -21.9% | 0.72 | 0.58 | 3.0x | 82 | 40% |
| Parabolic SAR step=0.005, maxStep=0.32 |
13.8% | -37.2% | 0.72 | 0.37 | 3.3x | 66 | 55% |
| MACD fast=12, slow=43, signal=13 |
4.9% | -28.0% | 0.35 | 0.17 | 1.5x | 138 | 45% |
| Buy and hold | 19.6% | -50.4% | 0.76 | 0.39 | 5.2x | 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 42 days
- Sell — Sell when price breaks below the lowest low of the last 28 days