Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Saipem S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Saipem S.p.A.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.5%, MDD -42.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.3%, drawdown -99.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.5%, MDD -42.7%, Sharpe 0.39, 17% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.2%, MDD -74.6%, exposure 56%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 56.9%p (CAGR 4.5%, MDD -42.7%, exposure 17%).
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=37, atrPeriod=10, mult=4 |
4.5% | -42.7% | 0.39 | 0.11 | 5.7x | 90 | 17% |
| 볼린저 밴드 돌파 n=42, k=2.5 |
5.1% | -46.3% | 0.37 | 0.11 | 7.2x | 134 | 26% |
| SMA 크로스오버 fast=41, slow=178 |
6.2% | -74.6% | 0.36 | 0.08 | 10.9x | 61 | 56% |
| EMA 크로스오버 fast=39, slow=48 |
6.1% | -82.5% | 0.36 | 0.07 | 10.5x | 131 | 54% |
| Donchian 채널 돌파 entryN=108, exitN=36 |
5.1% | -45.4% | 0.35 | 0.11 | 7.1x | 80 | 34% |
| ROC 모멘텀 n=152, threshold=-0.05 |
5.9% | -77.8% | 0.34 | 0.08 | 9.5x | 205 | 65% |
| Supertrend period=8, mult=4.6 |
5.6% | -88.6% | 0.34 | 0.06 | 8.6x | 182 | 54% |
| ADX / DI 방향성 period=19, threshold=25 |
1.0% | -70.6% | 0.14 | 0.01 | 1.5x | 162 | 15% |
| MACD fast=18, slow=47, signal=19 |
-1.0% | -94.3% | 0.13 | -0.01 | 0.7x | 412 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.0% | -97.1% | 0.08 | -0.02 | 0.4x | 338 | 52% |
| Buy and hold | -1.3% | -99.5% | 0.19 | -0.01 | 0.6x | 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 37-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 37-day average