Trend-Following Backtester · Guide · backtest 한국어
equity · IT
SOL S.p.A. backtest
10 trend-following strategies were compared on the full daily history of SOL S.p.A.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.8%, MDD -28.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.6%, drawdown -58.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.8%, MDD -37.0%, Sharpe 0.56, 70% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 10.8%, MDD -28.8%, exposure 70%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 21.5%p (CAGR 10.8%, MDD -28.8%, exposure 70%).
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=30, slow=280 |
10.8% | -37.0% | 0.56 | 0.29 | 17.8x | 29 | 70% |
| EMA 크로스오버 fast=57, slow=158 |
10.8% | -28.8% | 0.56 | 0.38 | 17.9x | 29 | 70% |
| Donchian 채널 돌파 entryN=79, exitN=113 |
8.6% | -43.2% | 0.46 | 0.20 | 10.1x | 29 | 76% |
| ROC 모멘텀 n=59, threshold=-0.09 |
6.5% | -62.2% | 0.37 | 0.11 | 5.9x | 175 | 88% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
1.6% | -29.2% | 0.26 | 0.05 | 1.5x | 30 | 7% |
| Supertrend period=14, mult=5 |
3.3% | -62.5% | 0.25 | 0.05 | 2.5x | 57 | 68% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=18, mult=4 |
0.7% | -35.6% | 0.12 | 0.02 | 1.2x | 32 | 11% |
| ADX / DI 방향성 period=34, threshold=35 |
0.2% | -7.6% | 0.10 | 0.03 | 1.1x | 8 | 2% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.5% | -68.4% | 0.07 | -0.01 | 0.9x | 234 | 53% |
| MACD fast=20, slow=55, signal=23 |
-2.0% | -76.6% | 0.00 | -0.03 | 0.6x | 264 | 48% |
| Buy and hold | 10.6% | -58.4% | 0.49 | 0.18 | 17.0x | 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 30-day average price crosses above the 280-day average
- Sell — Sell (to cash) when the 30-day average falls below the 280-day average