Trend-Following Backtester · Guide · backtest 한국어

equity · IT

Technogym S.p.A backtest

10 trend-following strategies were compared on the full daily history of Technogym S.p.A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.1%, MDD -37.9%).

Data 2016-05-03 ~ 2026-07-31daily bars 2,604 (10.2 years)Costs 0.5%Venue MILMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 13.7%, drawdown -53.6%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.1%, MDD -37.9%, Sharpe 0.67, 63% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 15.7%p (CAGR 14.1%, MDD -37.9%, exposure 63%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=9, slow=135
14.1%-37.9%0.670.373.9x3463%
EMA 크로스오버
fast=15, slow=168
13.7%-41.1%0.650.333.7x1866%
Donchian 채널 돌파
entryN=79, exitN=78
12.1%-42.9%0.600.283.2x1266%
ROC 모멘텀
n=147, threshold=0.09
11.7%-44.3%0.590.263.1x6854%
Supertrend
period=12, mult=3.1
9.2%-46.0%0.480.202.5x6058%
Parabolic SAR
step=0.005, maxStep=0.44
8.8%-41.2%0.470.212.4x8055%
Keltner 채널 돌파
emaPeriod=75, atrPeriod=29, mult=1.5
8.2%-34.7%0.470.242.2x5254%
볼린저 밴드 돌파
n=48, k=0.7
7.3%-28.9%0.430.252.1x7652%
MACD
fast=16, slow=55, signal=9
7.2%-38.4%0.420.192.0x14048%
ADX / DI 방향성
period=33, threshold=33
1.4%-7.5%0.370.181.2x22%
Buy and hold13.7%-53.6%0.550.263.7x1100%
1x 2017 2019 2021 2023 2025 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -13% -27% -40% -54% 2017 2019 2021 2023 2025 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -37.9% (2018-05-07 → 2021-01-25), recovered after 2,515 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next