Trend-Following Backtester · Guide · backtest 한국어
equity · IT
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 17.1%, MDD -19.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.0%, drawdown -46.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.1%, MDD -19.0%, Sharpe 1.01, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 27.6%p (CAGR 17.1%, MDD -19.0%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=123 |
17.1% | -19.0% | 1.01 | 0.90 | 5.6x | 17 | 66% |
| EMA 크로스오버 fast=30, slow=184 |
11.8% | -37.2% | 0.73 | 0.32 | 3.4x | 13 | 65% |
| 볼린저 밴드 돌파 n=51, k=3.2 |
4.3% | -7.7% | 0.72 | 0.55 | 1.6x | 6 | 10% |
| ROC 모멘텀 Hold-like · Exposure 99% n=7, threshold=-0.11 |
15.1% | -44.7% | 0.71 | 0.34 | 4.6x | 19 | 99% |
| Donchian 채널 돌파 entryN=65, exitN=65 |
9.8% | -22.5% | 0.65 | 0.44 | 2.8x | 19 | 60% |
| Supertrend period=15, mult=4.8 |
8.2% | -29.4% | 0.59 | 0.28 | 2.4x | 36 | 54% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=8, mult=3.7 |
4.1% | -16.0% | 0.52 | 0.26 | 1.6x | 24 | 19% |
| Parabolic SAR step=0.005, maxStep=0.08 |
6.0% | -42.3% | 0.44 | 0.14 | 1.9x | 93 | 57% |
| ADX / DI 방향성 period=37, threshold=15 |
2.8% | -20.4% | 0.32 | 0.14 | 1.4x | 45 | 27% |
| MACD fast=11, slow=38, signal=10 |
3.4% | -32.5% | 0.29 | 0.11 | 1.4x | 179 | 50% |
| Buy and hold | 14.0% | -46.6% | 0.63 | 0.30 | 4.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 56-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 56-day average falls below the 123-day average