Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Cellnex Telecom S.A. backtest
10 trend-following strategies were compared on the full daily history of Cellnex Telecom S.A.. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.4%, MDD -42.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.6%, drawdown -60.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.2%, MDD -16.4%, Sharpe 0.53, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.4%, MDD -42.8%, exposure 56%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.4%p lower than buy and hold, while drawdown improves by 44.0%p (CAGR 8.4%, MDD -42.8%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=28, mult=4 |
4.2% | -16.4% | 0.53 | 0.26 | 1.6x | 12 | 12% |
| ADX / DI 방향성 period=48, threshold=18 |
4.9% | -19.3% | 0.52 | 0.26 | 1.7x | 12 | 16% |
| SMA 크로스오버 fast=54, slow=93 |
8.4% | -42.8% | 0.48 | 0.20 | 2.5x | 32 | 56% |
| Donchian 채널 돌파 entryN=73, exitN=25 |
6.2% | -30.0% | 0.47 | 0.21 | 2.0x | 24 | 34% |
| EMA 크로스오버 fast=44, slow=273 |
7.5% | -43.0% | 0.47 | 0.17 | 2.3x | 10 | 48% |
| Supertrend period=26, mult=2.5 |
5.9% | -42.5% | 0.40 | 0.14 | 1.9x | 95 | 54% |
| ROC 모멘텀 n=143, threshold=0.19 |
4.4% | -34.2% | 0.39 | 0.13 | 1.6x | 48 | 24% |
| 볼린저 밴드 돌파 n=38, k=2.4 |
2.1% | -38.6% | 0.22 | 0.05 | 1.3x | 40 | 25% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.4% | -57.2% | 0.07 | -0.01 | 1.0x | 104 | 54% |
| MACD fast=17, slow=34, signal=15 |
-3.4% | -58.9% | -0.09 | -0.06 | 0.7x | 157 | 49% |
| Buy and hold | 7.6% | -60.4% | 0.40 | 0.13 | 2.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 35-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 35-day average