Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Aena SME SA backtest
10 trend-following strategies were compared on the full daily history of Aena SME SA. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.9%, MDD -30.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -50.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.9%, MDD -30.5%, Sharpe 0.55, 84% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 19.4%p (CAGR 9.9%, MDD -30.5%, exposure 84%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=102, threshold=-0.09 |
9.9% | -30.5% | 0.55 | 0.32 | 3.0x | 39 | 84% |
| EMA 크로스오버 fast=57, slow=254 |
6.8% | -47.8% | 0.45 | 0.14 | 2.1x | 11 | 71% |
| Donchian 채널 돌파 entryN=8, exitN=44 |
7.7% | -35.9% | 0.44 | 0.21 | 2.3x | 47 | 86% |
| ADX / DI 방향성 period=27, threshold=35 |
0.9% | -5.7% | 0.37 | 0.16 | 1.1x | 4 | 1% |
| SMA 크로스오버 fast=49, slow=153 |
4.8% | -39.3% | 0.34 | 0.12 | 1.7x | 25 | 65% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=27, mult=3.9 |
1.8% | -23.9% | 0.24 | 0.08 | 1.2x | 24 | 21% |
| Supertrend period=28, mult=4.2 |
2.5% | -53.2% | 0.22 | 0.05 | 1.3x | 45 | 59% |
| 볼린저 밴드 돌파 n=11, k=2.4 |
1.1% | -23.0% | 0.17 | 0.05 | 1.1x | 64 | 12% |
| Parabolic SAR step=0.01, maxStep=0.18 |
0.9% | -46.9% | 0.15 | 0.02 | 1.1x | 162 | 53% |
| MACD fast=15, slow=42, signal=13 |
-0.1% | -52.5% | 0.08 | -0.00 | 1.0x | 154 | 49% |
| Buy and hold | 12.3% | -50.0% | 0.56 | 0.25 | 3.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 102-day return is greater than -9%
- Sell — Sell when the 102-day return drops to -9% or below