Trend-Following Backtester · Guide · backtest 한국어
equity · IT
UNIPOL ASSICURAZIONI SPA backtest
10 trend-following strategies were compared on the full daily history of UNIPOL ASSICURAZIONI SPA. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.7%, MDD -7.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.7%, drawdown -98.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.1%, MDD -60.1%, Sharpe 0.34, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 38.2%p (CAGR 0.7%, MDD -7.0%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=147 |
5.1% | -60.1% | 0.34 | 0.08 | 5.9x | 71 | 51% |
| ADX / DI 방향성 period=37, threshold=37 |
0.7% | -7.0% | 0.34 | 0.10 | 1.3x | 2 | 1% |
| Donchian 채널 돌파 entryN=75, exitN=60 |
3.6% | -77.2% | 0.27 | 0.05 | 3.5x | 57 | 51% |
| EMA 크로스오버 fast=46, slow=111 |
3.0% | -62.0% | 0.25 | 0.05 | 2.9x | 63 | 51% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
1.6% | -30.3% | 0.22 | 0.05 | 1.8x | 38 | 10% |
| ROC 모멘텀 n=127, threshold=-0.03 |
1.8% | -78.0% | 0.19 | 0.02 | 1.9x | 233 | 58% |
| Supertrend period=23, mult=3.8 |
1.6% | -86.3% | 0.18 | 0.02 | 1.8x | 195 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=15, mult=2 |
0.9% | -70.8% | 0.14 | 0.01 | 1.4x | 177 | 35% |
| Parabolic SAR step=0.005, maxStep=0.14 |
0.2% | -82.9% | 0.11 | 0.00 | 1.1x | 305 | 49% |
| MACD fast=15, slow=45, signal=19 |
-1.5% | -93.0% | 0.04 | -0.02 | 0.6x | 404 | 51% |
| Buy and hold | -1.7% | -98.3% | 0.11 | -0.02 | 0.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 147-day average
- Sell — Sell (to cash) when the 50-day average falls below the 147-day average