Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Terna S.p.A. backtest
10 trend-following strategies were compared on the full daily history of Terna S.p.A.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.1%, drawdown -30.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.2%, MDD -33.1%, Sharpe 0.49, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=4, threshold=-0.13 |
8.2% | -33.1% | 0.49 | 0.25 | 5.8x | 7 | 100% |
| EMA 크로스오버 fast=75, slow=264 |
5.2% | -31.3% | 0.38 | 0.17 | 3.1x | 15 | 78% |
| SMA 크로스오버 fast=42, slow=176 |
4.0% | -30.6% | 0.33 | 0.13 | 2.4x | 35 | 70% |
| 볼린저 밴드 돌파 n=19, k=2.9 |
0.8% | -13.2% | 0.23 | 0.06 | 1.2x | 30 | 6% |
| Donchian 채널 돌파 entryN=56, exitN=99 |
2.4% | -39.9% | 0.22 | 0.06 | 1.7x | 29 | 77% |
| ADX / DI 방향성 period=28, threshold=24 |
0.7% | -12.7% | 0.18 | 0.05 | 1.2x | 24 | 7% |
| Supertrend period=8, mult=3.9 |
-0.9% | -40.7% | -0.00 | -0.02 | 0.8x | 93 | 57% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=26, mult=4 |
-0.9% | -22.7% | -0.27 | -0.04 | 0.8x | 16 | 3% |
| MACD fast=18, slow=30, signal=11 |
-5.5% | -74.5% | -0.33 | -0.07 | 0.3x | 340 | 52% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-6.2% | -80.5% | -0.38 | -0.08 | 0.2x | 210 | 58% |
| Buy and hold | 8.1% | -30.6% | 0.48 | 0.27 | 5.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than -13%
- Sell — Sell when the 4-day return drops to -13% or below