Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Snam S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Snam S.p.A.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.7%, drawdown -43.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.3%, MDD -9.8%, Sharpe 0.17, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 1.1%, MDD -44.6%, exposure 92%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=36 |
0.3% | -9.8% | 0.17 | 0.03 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=78, threshold=-0.11 |
1.1% | -44.6% | 0.15 | 0.02 | 1.3x | 54 | 92% |
| EMA 크로스오버 fast=71, slow=250 |
1.1% | -39.8% | 0.15 | 0.03 | 1.3x | 23 | 62% |
| SMA 크로스오버 fast=76, slow=212 |
0.8% | -48.3% | 0.13 | 0.02 | 1.2x | 35 | 62% |
| 볼린저 밴드 돌파 n=44, k=3.2 |
-0.1% | -24.8% | 0.00 | -0.00 | 1.0x | 20 | 7% |
| Donchian 채널 돌파 entryN=103, exitN=26 |
-0.5% | -53.2% | -0.01 | -0.01 | 0.9x | 58 | 29% |
| Supertrend period=25, mult=5 |
-1.2% | -61.1% | -0.03 | -0.02 | 0.7x | 68 | 54% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=16, mult=4 |
-0.9% | -42.8% | -0.10 | -0.02 | 0.8x | 40 | 13% |
| MACD fast=22, slow=55, signal=26 |
-4.4% | -74.1% | -0.27 | -0.06 | 0.3x | 220 | 52% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-5.2% | -80.1% | -0.31 | -0.07 | 0.3x | 218 | 54% |
| Buy and hold | 3.7% | -43.0% | 0.28 | 0.09 | 2.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)