Trend-Following Backtester · Guide · backtest 한국어
equity · PL
MODIVO SA backtest
10 trend-following strategies were compared on the full daily history of MODIVO SA. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.5%, MDD -35.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.8%, drawdown -91.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.6%, MDD -53.9%, Sharpe 0.88, 62% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.8%p higher than buy and hold, while drawdown improves by 38.0%p (CAGR 17.5%, MDD -35.1%, exposure 43%).
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 n=165, threshold=-0.04 |
24.6% | -53.9% | 0.88 | 0.46 | 118.0x | 82 | 62% |
| EMA 크로스오버 fast=50, slow=91 |
22.9% | -46.6% | 0.86 | 0.49 | 86.3x | 24 | 58% |
| SMA 크로스오버 fast=17, slow=180 |
21.2% | -45.9% | 0.82 | 0.46 | 64.5x | 32 | 57% |
| Donchian 채널 돌파 entryN=77, exitN=40 |
17.4% | -43.5% | 0.76 | 0.40 | 32.5x | 39 | 43% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=1.9 |
17.5% | -35.1% | 0.76 | 0.50 | 32.9x | 92 | 43% |
| 볼린저 밴드 돌파 n=50, k=1.1 |
15.8% | -45.6% | 0.69 | 0.35 | 23.9x | 126 | 46% |
| Supertrend period=11, mult=4.1 |
16.1% | -67.8% | 0.64 | 0.24 | 25.4x | 85 | 57% |
| ADX / DI 방향성 period=39, threshold=13 |
11.6% | -49.0% | 0.57 | 0.24 | 10.7x | 119 | 34% |
| Parabolic SAR step=0.01, maxStep=0.28 |
13.1% | -62.4% | 0.55 | 0.21 | 14.4x | 256 | 52% |
| MACD fast=16, slow=22, signal=18 |
11.2% | -67.1% | 0.49 | 0.17 | 9.9x | 296 | 49% |
| Buy and hold | 10.8% | -91.9% | 0.45 | 0.12 | 9.3x | 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 165-day return is greater than -4%
- Sell — Sell when the 165-day return drops to -4% or below