Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Safilo Group S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Safilo Group S.p.A.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.3%, MDD -31.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.1%, drawdown -98.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -47.6%, Sharpe 0.51, 28% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 23.9%p higher than buy and hold, while drawdown improves by 51.2%p (CAGR 6.3%, MDD -31.4%, exposure 8%).
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=88, exitN=33 |
9.9% | -47.6% | 0.51 | 0.21 | 7.0x | 24 | 28% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=24, mult=4 |
6.3% | -31.4% | 0.48 | 0.20 | 3.6x | 22 | 8% |
| ROC 모멘텀 n=92, threshold=0.1 |
7.6% | -49.0% | 0.41 | 0.15 | 4.5x | 124 | 31% |
| SMA 크로스오버 fast=36, slow=149 |
7.7% | -54.9% | 0.40 | 0.14 | 4.7x | 28 | 40% |
| ADX / DI 방향성 period=38, threshold=23 |
5.0% | -39.6% | 0.38 | 0.13 | 2.8x | 22 | 11% |
| EMA 크로스오버 fast=49, slow=59 |
5.9% | -59.8% | 0.34 | 0.10 | 3.3x | 42 | 40% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
3.7% | -46.6% | 0.33 | 0.08 | 2.1x | 16 | 8% |
| Supertrend period=17, mult=3.4 |
1.3% | -82.4% | 0.20 | 0.02 | 1.3x | 95 | 45% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-8.7% | -93.8% | -0.11 | -0.09 | 0.2x | 432 | 48% |
| MACD fast=16, slow=37, signal=15 |
-12.9% | -97.6% | -0.24 | -0.13 | 0.1x | 260 | 51% |
| Buy and hold | -14.1% | -98.8% | -0.08 | -0.14 | 0.0x | 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 88 days
- Sell — Sell when price breaks below the lowest low of the last 33 days