Trend-Following Backtester · Guide · backtest 한국어
equity · PT
Sonae SGPS SA backtest
10 trend-following strategies were compared on the full daily history of Sonae SGPS SA. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.3%, MDD -29.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.1%, drawdown -86.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.4%, MDD -35.1%, Sharpe 0.76, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 51.6%p (CAGR 11.3%, MDD -29.1%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=70, exitN=53 |
13.4% | -35.1% | 0.76 | 0.38 | 28.4x | 37 | 47% |
| SMA 크로스오버 fast=27, slow=121 |
13.3% | -29.9% | 0.74 | 0.44 | 27.7x | 47 | 51% |
| 볼린저 밴드 돌파 n=73, k=1.7 |
11.3% | -29.1% | 0.72 | 0.39 | 17.2x | 68 | 37% |
| EMA 크로스오버 fast=44, slow=77 |
12.7% | -34.6% | 0.71 | 0.37 | 24.3x | 47 | 52% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=19, mult=1.9 |
10.1% | -33.4% | 0.64 | 0.30 | 12.9x | 100 | 40% |
| Supertrend period=22, mult=5 |
9.7% | -40.7% | 0.57 | 0.24 | 11.7x | 67 | 51% |
| ROC 모멘텀 n=98, threshold=0.07 |
8.0% | -39.5% | 0.53 | 0.20 | 7.7x | 154 | 39% |
| ADX / DI 방향성 period=21, threshold=18 |
6.8% | -40.6% | 0.49 | 0.17 | 5.8x | 188 | 31% |
| Parabolic SAR step=0.015, maxStep=0.16 |
3.6% | -59.6% | 0.27 | 0.06 | 2.6x | 404 | 51% |
| MACD fast=12, slow=30, signal=20 |
-1.9% | -72.6% | 0.01 | -0.03 | 0.6x | 356 | 49% |
| Buy and hold | -0.1% | -86.7% | 0.15 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 70 days
- Sell — Sell when price breaks below the lowest low of the last 53 days