Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Recordati S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Recordati S.p.A.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.2%, MDD -48.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.9%, drawdown -62.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.2%, MDD -48.6%, Sharpe 0.68, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.7%p lower than buy and hold, while drawdown improves by 13.5%p (CAGR 14.2%, MDD -48.6%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=161 |
14.2% | -48.6% | 0.68 | 0.29 | 64.3x | 53 | 65% |
| Supertrend period=11, mult=5 |
13.5% | -45.8% | 0.67 | 0.29 | 52.5x | 73 | 63% |
| EMA 크로스오버 fast=35, slow=136 |
13.7% | -48.3% | 0.65 | 0.28 | 55.7x | 55 | 67% |
| Donchian 채널 돌파 entryN=84, exitN=44 |
11.9% | -40.2% | 0.63 | 0.30 | 33.7x | 59 | 56% |
| ROC 모멘텀 n=142, threshold=-0.09 |
11.1% | -52.2% | 0.54 | 0.21 | 27.4x | 167 | 80% |
| MACD fast=33, slow=42, signal=35 |
6.9% | -47.1% | 0.42 | 0.15 | 8.1x | 218 | 49% |
| Parabolic SAR step=0.005, maxStep=0.12 |
7.3% | -72.5% | 0.37 | 0.10 | 9.2x | 241 | 55% |
| 볼린저 밴드 돌파 n=30, k=2.2 |
4.8% | -41.8% | 0.36 | 0.12 | 4.4x | 182 | 31% |
| ADX / DI 방향성 period=25, threshold=39 |
1.3% | -12.6% | 0.33 | 0.11 | 1.5x | 16 | 3% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=19, mult=3.6 |
3.2% | -50.5% | 0.29 | 0.06 | 2.7x | 78 | 19% |
| Buy and hold | 17.9% | -62.1% | 0.62 | 0.29 | 173.1x | 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 26-day average price crosses above the 161-day average
- Sell — Sell (to cash) when the 26-day average falls below the 161-day average