Trend-Following Backtester · Guide · backtest 한국어

equity · ES

Acerinox SA backtest

10 trend-following strategies were compared on the full daily history of Acerinox SA. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 1.7%, MDD -58.6%).

Data 2000-01-03 ~ 2026-07-31daily bars 6,824 (26.6 years)Costs 0.5%Venue BMEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 2.1%, drawdown -75.0%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.3%, MDD -11.3%, Sharpe 0.39, 2% exposure.

CAGR reference leader: Parabolic SAR — CAGR 1.7%, MDD -58.6%, exposure 52%.

Return/drawdown alternative: Parabolic SAR — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 63.7%p (CAGR 1.7%, MDD -58.6%, exposure 52%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=31, k=3.4
1.3%-11.3%0.390.121.4x62%
Keltner 채널 돌파
emaPeriod=13, atrPeriod=20, mult=3.9
0.6%-7.3%0.240.081.2x41%
Parabolic SAR
step=0.005, maxStep=0.06
1.7%-58.6%0.180.031.6x22152%
Supertrend
period=26, mult=3
1.4%-56.8%0.170.031.5x16952%
Donchian 채널 돌파
entryN=138, exitN=26
1.0%-49.4%0.140.021.3x5124%
ADX / DI 방향성
period=33, threshold=34
0.3%-13.6%0.140.021.1x21%
SMA 크로스오버
fast=50, slow=134
0.1%-70.4%0.110.001.0x7350%
EMA 크로스오버
fast=16, slow=22
-1.3%-76.5%0.04-0.020.7x20552%
ROC 모멘텀
n=124, threshold=0.03
-1.9%-61.5%-0.01-0.030.6x22345%
MACD
fast=13, slow=26, signal=10
-3.2%-75.8%-0.05-0.040.4x47349%
Buy and hold2.1%-75.0%0.220.031.7x1100%
1x 2001 2005 2009 2013 2017 2021 2025 Parabolic SAR볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Parabolic SAR (CAGR reference), Buy and hold.
0% -19% -38% -56% -75% 2001 2005 2009 2013 2017 2021 2025 Buy and holdParabolic SAR볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -11.3% (2006-12-27 → 2023-11-10), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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