Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Tenaris S.A. backtest
10 trend-following strategies were compared on the full daily history of Tenaris S.A.. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.0%, MDD -44.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.7%, drawdown -83.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.7%, MDD -39.8%, Sharpe 0.64, 19% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.1%, MDD -58.6%, exposure 62%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 44.1%p (CAGR 12.0%, MDD -44.5%, exposure 62%).
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=25, atrPeriod=16, mult=3 |
8.7% | -39.8% | 0.64 | 0.22 | 7.2x | 70 | 19% |
| Donchian 채널 돌파 entryN=41, exitN=57 |
14.1% | -58.6% | 0.63 | 0.24 | 22.7x | 56 | 62% |
| Supertrend period=22, mult=3.7 |
13.1% | -53.5% | 0.61 | 0.25 | 18.4x | 112 | 57% |
| EMA 크로스오버 fast=41, slow=176 |
12.0% | -44.5% | 0.56 | 0.27 | 14.6x | 29 | 62% |
| SMA 크로스오버 fast=18, slow=92 |
11.5% | -48.4% | 0.56 | 0.24 | 13.1x | 78 | 56% |
| 볼린저 밴드 돌파 n=39, k=2.1 |
8.5% | -61.5% | 0.50 | 0.14 | 6.9x | 122 | 33% |
| MACD fast=14, slow=91, signal=17 |
9.8% | -64.7% | 0.49 | 0.15 | 9.1x | 234 | 50% |
| ROC 모멘텀 n=83, threshold=-0.04 |
9.5% | -58.8% | 0.47 | 0.16 | 8.6x | 217 | 66% |
| ADX / DI 방향성 period=38, threshold=11 |
7.1% | -68.2% | 0.43 | 0.10 | 5.0x | 180 | 39% |
| Parabolic SAR step=0.005, maxStep=0.16 |
6.9% | -59.1% | 0.39 | 0.12 | 4.8x | 206 | 54% |
| Buy and hold | 11.7% | -83.9% | 0.48 | 0.14 | 13.6x | 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 25-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 25-day average