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 1.8%, MDD -58.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 2.2%, 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 1.8%, MDD -58.6%, exposure 53%.
Return/drawdown alternative: Parabolic SAR — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 63.7%p (CAGR 1.8%, MDD -58.6%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=31, k=3.4 |
1.3% | -11.3% | 0.39 | 0.12 | 1.4x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=20, mult=3.9 |
0.6% | -7.3% | 0.24 | 0.08 | 1.2x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.06 |
1.8% | -58.6% | 0.19 | 0.03 | 1.6x | 221 | 53% |
| Supertrend period=26, mult=3 |
1.5% | -56.8% | 0.18 | 0.03 | 1.5x | 169 | 53% |
| Donchian 채널 돌파 entryN=138, exitN=26 |
1.1% | -49.4% | 0.15 | 0.02 | 1.4x | 51 | 24% |
| ADX / DI 방향성 period=33, threshold=34 |
0.3% | -13.6% | 0.14 | 0.02 | 1.1x | 2 | 1% |
| SMA 크로스오버 fast=50, slow=134 |
0.2% | -70.4% | 0.11 | 0.00 | 1.1x | 73 | 50% |
| EMA 크로스오버 fast=16, slow=22 |
-1.1% | -76.5% | 0.04 | -0.01 | 0.7x | 205 | 52% |
| ROC 모멘텀 n=124, threshold=0.03 |
-1.8% | -61.5% | -0.00 | -0.03 | 0.6x | 223 | 46% |
| MACD fast=13, slow=26, signal=10 |
-3.1% | -75.8% | -0.04 | -0.04 | 0.4x | 474 | 49% |
| Buy and hold | 2.2% | -75.0% | 0.22 | 0.03 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 31-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 31-day middle average