Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Construcciones y Auxiliar de Ferrocarriles, S.A. backtest
10 trend-following strategies were compared on the full daily history of Construcciones y Auxiliar de Ferrocarriles, S.A.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.0%, MDD -34.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.2%, drawdown -53.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.0%, MDD -34.3%, Sharpe 0.67, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 19.1%p (CAGR 12.0%, MDD -34.3%, exposure 61%).
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=76, slow=86 |
12.0% | -34.3% | 0.67 | 0.35 | 20.5x | 129 | 61% |
| 볼린저 밴드 돌파 n=47, k=3.3 |
6.3% | -30.0% | 0.64 | 0.21 | 5.1x | 33 | 15% |
| EMA 크로스오버 fast=54, slow=188 |
10.8% | -58.2% | 0.60 | 0.19 | 15.5x | 31 | 69% |
| Donchian 채널 돌파 entryN=18, exitN=30 |
10.0% | -53.1% | 0.55 | 0.19 | 12.7x | 109 | 70% |
| Supertrend period=28, mult=5 |
8.5% | -54.0% | 0.51 | 0.16 | 8.7x | 71 | 61% |
| ADX / DI 방향성 period=18, threshold=32 |
3.9% | -14.3% | 0.49 | 0.27 | 2.8x | 44 | 8% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=18, mult=3.7 |
4.7% | -33.4% | 0.44 | 0.14 | 3.4x | 55 | 20% |
| ROC 모멘텀 n=122, threshold=0.01 |
6.5% | -61.5% | 0.42 | 0.10 | 5.3x | 267 | 59% |
| Parabolic SAR step=0.005, maxStep=0.12 |
6.5% | -72.4% | 0.42 | 0.09 | 5.4x | 213 | 57% |
| MACD fast=21, slow=36, signal=24 |
6.0% | -60.9% | 0.40 | 0.10 | 4.8x | 261 | 51% |
| Buy and hold | 14.2% | -53.3% | 0.62 | 0.27 | 34.5x | 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 76-day average price crosses above the 86-day average
- Sell — Sell (to cash) when the 76-day average falls below the 86-day average