Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Stellantis N.V. backtest
10 trend-following strategies were compared on the full daily history of Stellantis N.V.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.5%, MDD -26.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.6%, drawdown -90.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.3%, MDD -29.6%, Sharpe 0.70, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.1%, MDD -65.7%, exposure 47%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 60.6%p (CAGR 5.5%, MDD -26.5%, exposure 12%).
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=128, exitN=8 |
8.3% | -29.6% | 0.70 | 0.28 | 8.3x | 66 | 14% |
| SMA 크로스오버 fast=39, slow=247 |
12.1% | -65.7% | 0.58 | 0.18 | 20.8x | 28 | 47% |
| EMA 크로스오버 fast=32, slow=241 |
10.8% | -54.5% | 0.54 | 0.20 | 15.3x | 24 | 46% |
| ROC 모멘텀 n=113, threshold=0.06 |
8.8% | -48.3% | 0.50 | 0.18 | 9.5x | 196 | 40% |
| 볼린저 밴드 돌파 n=50, k=3.2 |
5.5% | -26.5% | 0.49 | 0.21 | 4.1x | 26 | 12% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=19, mult=4 |
6.3% | -34.5% | 0.48 | 0.18 | 5.0x | 52 | 18% |
| ADX / DI 방향성 period=39, threshold=16 |
5.9% | -28.7% | 0.43 | 0.20 | 4.6x | 78 | 19% |
| Supertrend period=20, mult=3.3 |
3.5% | -71.4% | 0.26 | 0.05 | 2.5x | 176 | 47% |
| MACD fast=19, slow=24, signal=15 |
1.4% | -77.4% | 0.19 | 0.02 | 1.4x | 351 | 52% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.2% | -74.4% | 0.08 | -0.02 | 0.7x | 229 | 49% |
| Buy and hold | -1.6% | -90.2% | 0.16 | -0.02 | 0.6x | 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 128 days
- Sell — Sell when price breaks below the lowest low of the last 8 days