Trend-Following Backtester · Guide · backtest 한국어
equity · ES
CIE Automotive, S.A. backtest
10 trend-following strategies were compared on the full daily history of CIE Automotive, S.A.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.1%, MDD -33.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.5%, drawdown -78.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.8%, MDD -48.6%, Sharpe 0.75, 62% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 12.1%, MDD -33.9%, exposure 55%).
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=50, slow=189 |
15.8% | -48.6% | 0.75 | 0.33 | 34.1x | 30 | 62% |
| Donchian 채널 돌파 entryN=116, exitN=76 |
12.1% | -33.9% | 0.66 | 0.36 | 15.4x | 24 | 55% |
| EMA 크로스오버 fast=15, slow=145 |
13.3% | -48.4% | 0.66 | 0.27 | 19.9x | 52 | 64% |
| ROC 모멘텀 n=146, threshold=0.03 |
12.3% | -47.7% | 0.64 | 0.26 | 16.3x | 168 | 58% |
| 볼린저 밴드 돌파 n=62, k=3.5 |
7.1% | -19.0% | 0.59 | 0.37 | 5.2x | 24 | 17% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=25, mult=4 |
8.5% | -31.5% | 0.57 | 0.27 | 7.0x | 48 | 32% |
| Supertrend period=27, mult=3.6 |
7.3% | -45.3% | 0.43 | 0.16 | 5.5x | 132 | 55% |
| MACD fast=23, slow=30, signal=24 |
2.3% | -54.2% | 0.21 | 0.04 | 1.7x | 268 | 50% |
| ADX / DI 방향성 period=37, threshold=11 |
2.2% | -41.8% | 0.21 | 0.05 | 1.7x | 214 | 39% |
| Parabolic SAR step=0.015, maxStep=0.24 |
2.1% | -74.9% | 0.20 | 0.03 | 1.6x | 395 | 53% |
| Buy and hold | 13.5% | -78.0% | 0.56 | 0.17 | 21.1x | 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 50-day average price crosses above the 189-day average
- Sell — Sell (to cash) when the 50-day average falls below the 189-day average