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 5.8%, MDD -30.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.6%, drawdown -98.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.3%, MDD -52.5%, Sharpe 0.49, 37% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 23.9%p higher than buy and hold, while drawdown improves by 46.3%p (CAGR 5.8%, MDD -30.3%, exposure 11%).
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=85, exitN=65 |
10.3% | -52.5% | 0.49 | 0.20 | 7.7x | 21 | 37% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=25, mult=4 |
5.8% | -30.3% | 0.42 | 0.19 | 3.2x | 28 | 11% |
| SMA 크로스오버 fast=33, slow=138 |
7.8% | -51.2% | 0.40 | 0.15 | 4.7x | 31 | 40% |
| ADX / DI 방향성 period=37, threshold=23 |
5.1% | -40.1% | 0.39 | 0.13 | 2.8x | 24 | 11% |
| ROC 모멘텀 n=88, threshold=0.05 |
6.6% | -52.1% | 0.36 | 0.13 | 3.8x | 165 | 35% |
| EMA 크로스오버 fast=37, slow=54 |
5.7% | -72.0% | 0.33 | 0.08 | 3.2x | 57 | 40% |
| 볼린저 밴드 돌파 n=50, k=2.5 |
3.9% | -58.3% | 0.28 | 0.07 | 2.2x | 54 | 22% |
| Supertrend period=21, mult=3.4 |
2.9% | -82.4% | 0.25 | 0.04 | 1.8x | 94 | 44% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-8.1% | -93.8% | -0.10 | -0.09 | 0.2x | 435 | 48% |
| MACD fast=14, slow=44, signal=13 |
-12.8% | -98.0% | -0.23 | -0.13 | 0.1x | 285 | 51% |
| Buy and hold | -13.6% | -98.8% | -0.07 | -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 85 days
- Sell — Sell when price breaks below the lowest low of the last 65 days