Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Webuild SpA backtest
10 trend-following strategies were compared on the full daily history of Webuild SpA. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.4%, MDD -24.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.2%, drawdown -90.0%).
Sharpe leader (same as main): Supertrend — CAGR 6.3%, MDD -62.0%, Sharpe 0.36, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 2.4%, MDD -24.2%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=4.9 |
6.3% | -62.0% | 0.36 | 0.10 | 5.1x | 80 | 52% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=11, mult=3.6 |
2.4% | -24.2% | 0.31 | 0.10 | 1.9x | 28 | 6% |
| ROC 모멘텀 n=103, threshold=0.14 |
3.8% | -51.4% | 0.29 | 0.07 | 2.7x | 178 | 29% |
| EMA 크로스오버 fast=32, slow=42 |
2.7% | -69.1% | 0.24 | 0.04 | 2.0x | 92 | 50% |
| SMA 크로스오버 fast=9, slow=63 |
2.5% | -78.9% | 0.23 | 0.03 | 1.9x | 138 | 52% |
| 볼린저 밴드 돌파 n=55, k=2 |
2.5% | -57.1% | 0.23 | 0.04 | 1.9x | 96 | 34% |
| Donchian 채널 돌파 entryN=93, exitN=24 |
2.1% | -45.7% | 0.21 | 0.05 | 1.7x | 66 | 29% |
| ADX / DI 방향성 period=28, threshold=19 |
2.1% | -41.8% | 0.21 | 0.05 | 1.7x | 94 | 21% |
| Parabolic SAR step=0.01, maxStep=0.28 |
0.1% | -84.9% | 0.14 | 0.00 | 1.0x | 347 | 53% |
| MACD fast=14, slow=59, signal=7 |
-1.1% | -71.4% | 0.10 | -0.02 | 0.7x | 439 | 51% |
| Buy and hold | -1.2% | -90.0% | 0.17 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)