Trend-Following Backtester · Guide · backtest 한국어
equity · ES
ACS, Actividades de Construccion y Servicios SA backtest
10 trend-following strategies were compared on the full daily history of ACS, Actividades de Construccion y Servicios SA. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.3%, MDD -54.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.6%, drawdown -78.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -54.2%, Sharpe 0.72, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 24.4%p (CAGR 12.3%, MDD -54.2%, exposure 62%).
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=55, slow=193 |
12.3% | -54.2% | 0.72 | 0.23 | 17.4x | 23 | 62% |
| EMA 크로스오버 fast=10, slow=167 |
9.4% | -60.6% | 0.58 | 0.16 | 9.1x | 61 | 64% |
| ROC 모멘텀 n=149, threshold=-0.03 |
9.7% | -54.5% | 0.57 | 0.18 | 9.6x | 137 | 68% |
| Donchian 채널 돌파 entryN=95, exitN=43 |
7.5% | -37.4% | 0.51 | 0.20 | 5.9x | 44 | 49% |
| Supertrend period=25, mult=2.9 |
6.0% | -52.6% | 0.39 | 0.11 | 4.1x | 184 | 58% |
| ADX / DI 방향성 period=25, threshold=32 |
0.8% | -7.3% | 0.29 | 0.11 | 1.2x | 10 | 3% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=27, mult=1.5 |
3.1% | -64.8% | 0.26 | 0.05 | 2.1x | 170 | 50% |
| MACD fast=17, slow=42, signal=21 |
3.2% | -56.8% | 0.26 | 0.06 | 2.2x | 268 | 51% |
| 볼린저 밴드 돌파 n=47, k=1.4 |
2.6% | -64.2% | 0.24 | 0.04 | 1.9x | 158 | 46% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.9% | -61.9% | 0.19 | 0.03 | 1.6x | 224 | 55% |
| Buy and hold | 10.6% | -78.6% | 0.48 | 0.14 | 12.0x | 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 55-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 55-day average falls below the 193-day average