Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Ferrari NV backtest
10 trend-following strategies were compared on the full daily history of Ferrari NV. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.9%, MDD -33.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.0%, drawdown -43.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.7%, MDD -29.5%, Sharpe 0.96, 66% exposure.
CAGR reference leader: Supertrend — CAGR 20.1%, MDD -47.2%, exposure 69%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 14.4%p (CAGR 19.9%, MDD -33.0%, exposure 72%).
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=49, exitN=44 |
18.7% | -29.5% | 0.96 | 0.63 | 6.2x | 19 | 66% |
| Supertrend period=29, mult=5 |
20.1% | -47.2% | 0.96 | 0.43 | 7.0x | 29 | 69% |
| SMA 크로스오버 fast=49, slow=195 |
19.9% | -33.0% | 0.92 | 0.60 | 6.9x | 11 | 72% |
| ROC 모멘텀 n=112, threshold=-0.07 |
19.7% | -36.2% | 0.88 | 0.54 | 6.8x | 45 | 83% |
| EMA 크로스오버 fast=54, slow=110 |
16.4% | -37.1% | 0.80 | 0.44 | 5.0x | 17 | 74% |
| 볼린저 밴드 돌파 n=59, k=2.3 |
10.2% | -26.2% | 0.71 | 0.39 | 2.8x | 37 | 43% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=12, mult=3.9 |
8.0% | -24.5% | 0.64 | 0.33 | 2.3x | 27 | 33% |
| Parabolic SAR step=0.005, maxStep=0.36 |
9.3% | -53.7% | 0.54 | 0.17 | 2.6x | 99 | 57% |
| MACD fast=10, slow=53, signal=14 |
3.9% | -45.6% | 0.29 | 0.09 | 1.5x | 162 | 48% |
| ADX / DI 방향성 period=38, threshold=13 |
2.6% | -34.3% | 0.25 | 0.07 | 1.3x | 61 | 32% |
| Buy and hold | 22.0% | -43.9% | 0.83 | 0.50 | 8.3x | 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 49 days
- Sell — Sell when price breaks below the lowest low of the last 44 days