Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Salvatore Ferragamo S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Salvatore Ferragamo S.p.A.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.8%, MDD -10.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.3%, drawdown -86.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.2%, MDD -14.4%, Sharpe 0.45, 9% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 71.6%p (CAGR 2.8%, MDD -10.2%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=9, mult=3.6 |
4.2% | -14.4% | 0.45 | 0.29 | 1.9x | 12 | 9% |
| ADX / DI 방향성 period=18, threshold=32 |
2.8% | -10.2% | 0.38 | 0.28 | 1.5x | 16 | 5% |
| ROC 모멘텀 n=145, threshold=0.07 |
4.2% | -52.5% | 0.30 | 0.08 | 1.9x | 85 | 36% |
| SMA 크로스오버 fast=12, slow=203 |
2.8% | -55.6% | 0.23 | 0.05 | 1.5x | 25 | 42% |
| 볼린저 밴드 돌파 n=29, k=2.8 |
1.9% | -56.4% | 0.20 | 0.03 | 1.3x | 44 | 15% |
| EMA 크로스오버 fast=26, slow=134 |
2.0% | -63.8% | 0.20 | 0.03 | 1.3x | 29 | 43% |
| Donchian 채널 돌파 entryN=86, exitN=12 |
0.2% | -41.7% | 0.09 | 0.00 | 1.0x | 48 | 23% |
| Supertrend period=10, mult=5 |
-1.8% | -66.2% | 0.06 | -0.03 | 0.8x | 45 | 48% |
| MACD fast=15, slow=55, signal=23 |
-8.9% | -91.6% | -0.23 | -0.10 | 0.2x | 162 | 53% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-10.5% | -87.1% | -0.29 | -0.12 | 0.2x | 202 | 51% |
| Buy and hold | -0.3% | -86.1% | 0.18 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 33-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 33-day average