Trend-Following Backtester · Guide · backtest 한국어

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Poste Italiane SpA backtest

10 trend-following strategies were compared on the full daily history of Poste Italiane SpA. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.6%, MDD -19.0%).

Data 2015-10-27 ~ 2026-07-31daily bars 2,734 (10.8 years)Costs 0.5%Venue MILMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 13.5%, drawdown -46.6%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.6%, MDD -19.0%, Sharpe 0.98, 65% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 27.6%p (CAGR 16.6%, MDD -19.0%, exposure 65%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=56, slow=123
16.6%-19.0%0.980.875.2x1765%
볼린저 밴드 돌파
n=51, k=3.2
4.3%-7.7%0.730.561.6x610%
EMA 크로스오버
fast=30, slow=184
11.3%-37.2%0.700.303.2x1365%
ROC 모멘텀
Hold-like · Exposure 99%
n=7, threshold=-0.11
14.6%-44.7%0.690.334.3x1999%
Donchian 채널 돌파
entryN=65, exitN=65
9.3%-22.5%0.620.422.6x1960%
Supertrend
period=15, mult=4.8
8.3%-29.4%0.600.282.4x3654%
Keltner 채널 돌파
emaPeriod=33, atrPeriod=8, mult=3.7
4.2%-16.0%0.520.261.6x2419%
Parabolic SAR
step=0.005, maxStep=0.08
5.9%-42.3%0.430.141.9x9257%
ADX / DI 방향성
period=37, threshold=15
2.7%-20.4%0.310.131.3x4426%
MACD
fast=11, slow=38, signal=10
3.3%-32.5%0.280.101.4x17850%
Buy and hold13.5%-46.6%0.620.293.9x1100%
1x 2016 2018 2020 2022 2024 2026 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -12% -23% -35% -47% 2016 2018 2020 2022 2024 2026 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -19.0% (2023-03-06 → 2024-02-09), recovered after 428 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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