Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Atresmedia Corporacion de Medios de Comunicacion SA backtest
10 trend-following strategies were compared on the full daily history of Atresmedia Corporacion de Medios de Comunicacion SA. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.8%, MDD -22.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.2%, drawdown -90.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.8%, MDD -22.1%, Sharpe 0.49, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.4%, MDD -58.8%, exposure 32%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 68.7%p (CAGR 3.8%, MDD -22.1%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=25, mult=3.3 |
3.8% | -22.1% | 0.49 | 0.17 | 2.3x | 17 | 4% |
| 볼린저 밴드 돌파 n=54, k=3.4 |
4.7% | -22.7% | 0.44 | 0.21 | 2.8x | 18 | 10% |
| Donchian 채널 돌파 entryN=77, exitN=28 |
6.4% | -58.8% | 0.41 | 0.11 | 4.1x | 42 | 32% |
| EMA 크로스오버 fast=31, slow=145 |
6.3% | -46.6% | 0.38 | 0.14 | 4.0x | 42 | 47% |
| ROC 모멘텀 n=145, threshold=0.04 |
5.8% | -55.3% | 0.37 | 0.11 | 3.6x | 133 | 40% |
| Supertrend period=26, mult=4.9 |
4.1% | -72.4% | 0.28 | 0.06 | 2.5x | 65 | 49% |
| SMA 크로스오버 fast=36, slow=100 |
3.5% | -59.0% | 0.26 | 0.06 | 2.2x | 60 | 47% |
| ADX / DI 방향성 period=23, threshold=13 |
-0.6% | -79.2% | 0.07 | -0.01 | 0.9x | 261 | 34% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-2.2% | -84.7% | 0.03 | -0.03 | 0.6x | 387 | 48% |
| MACD fast=17, slow=50, signal=20 |
-7.6% | -92.7% | -0.18 | -0.08 | 0.2x | 255 | 49% |
| Buy and hold | -1.2% | -90.8% | 0.14 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average