Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Almirall SA backtest
10 trend-following strategies were compared on the full daily history of Almirall SA. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.0%, MDD -9.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.6%, drawdown -72.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.0%, MDD -9.6%, Sharpe 0.53, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.6%, MDD -41.7%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 62.9%p (CAGR 3.0%, MDD -9.6%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=22, k=3.4 |
3.0% | -9.6% | 0.53 | 0.32 | 1.8x | 10 | 4% |
| SMA 크로스오버 fast=37, slow=82 |
4.6% | -41.7% | 0.32 | 0.11 | 2.4x | 56 | 52% |
| EMA 크로스오버 fast=41, slow=180 |
2.9% | -55.9% | 0.24 | 0.05 | 1.7x | 30 | 50% |
| ROC 모멘텀 n=137, threshold=0.07 |
2.3% | -46.4% | 0.21 | 0.05 | 1.5x | 144 | 41% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=10, mult=3.2 |
1.7% | -28.5% | 0.19 | 0.06 | 1.4x | 48 | 22% |
| Donchian 채널 돌파 entryN=97, exitN=46 |
1.7% | -56.4% | 0.19 | 0.03 | 1.4x | 30 | 34% |
| Supertrend period=26, mult=4.8 |
-3.3% | -58.1% | -0.01 | -0.06 | 0.5x | 58 | 55% |
| ADX / DI 방향성 period=33, threshold=28 |
-0.5% | -26.0% | -0.09 | -0.02 | 0.9x | 6 | 2% |
| MACD fast=16, slow=27, signal=16 |
-7.4% | -80.4% | -0.19 | -0.09 | 0.2x | 275 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-10.8% | -90.5% | -0.36 | -0.12 | 0.1x | 343 | 50% |
| Buy and hold | -1.6% | -72.5% | 0.13 | -0.02 | 0.7x | 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 22-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 22-day middle average