Trend-Following Backtester · Guide · backtest 한국어
equity · IT
SeSa S.p.A. backtest
10 trend-following strategies were compared on the full daily history of SeSa S.p.A.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.1%, drawdown -70.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.9%, MDD -18.9%, Sharpe 0.84, 17% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.8%, MDD -47.1%, exposure 61%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=45, threshold=18 |
9.9% | -18.9% | 0.84 | 0.53 | 4.2x | 18 | 17% |
| Supertrend period=11, mult=3.9 |
11.4% | -51.2% | 0.65 | 0.22 | 5.1x | 56 | 58% |
| EMA 크로스오버 fast=13, slow=37 |
11.8% | -47.1% | 0.64 | 0.25 | 5.4x | 94 | 61% |
| Donchian 채널 돌파 entryN=60, exitN=39 |
10.3% | -61.3% | 0.61 | 0.17 | 4.5x | 30 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=2.2 |
9.0% | -47.0% | 0.59 | 0.19 | 3.7x | 58 | 40% |
| ROC 모멘텀 n=178, threshold=0.04 |
10.7% | -51.5% | 0.58 | 0.21 | 4.7x | 109 | 54% |
| SMA 크로스오버 fast=19, slow=150 |
10.3% | -60.7% | 0.57 | 0.17 | 4.5x | 33 | 64% |
| 볼린저 밴드 돌파 n=44, k=1.5 |
8.5% | -47.0% | 0.56 | 0.18 | 3.4x | 92 | 43% |
| MACD fast=15, slow=58, signal=19 |
8.6% | -44.4% | 0.52 | 0.19 | 3.5x | 164 | 51% |
| Parabolic SAR step=0.045, maxStep=0.14 |
5.2% | -56.1% | 0.35 | 0.09 | 2.2x | 441 | 52% |
| Buy and hold | 16.1% | -70.0% | 0.66 | 0.23 | 9.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 45-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)