Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Colonial SFL SOCIMI SA backtest
10 trend-following strategies were compared on the full daily history of Colonial SFL SOCIMI SA. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.8%, MDD -70.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.3%, drawdown -99.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -81.0%, Sharpe 0.41, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 20.7%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 3.8%, MDD -70.0%, exposure 16%).
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=14, slow=146 |
8.4% | -81.0% | 0.41 | 0.10 | 7.1x | 51 | 50% |
| EMA 크로스오버 fast=38, slow=96 |
8.0% | -76.8% | 0.40 | 0.10 | 6.4x | 45 | 50% |
| Donchian 채널 돌파 entryN=94, exitN=31 |
7.1% | -73.8% | 0.38 | 0.10 | 5.3x | 40 | 30% |
| ROC 모멘텀 n=107, threshold=0.01 |
6.4% | -78.8% | 0.35 | 0.08 | 4.5x | 215 | 47% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
5.2% | -71.9% | 0.32 | 0.07 | 3.4x | 26 | 12% |
| ADX / DI 방향성 period=38, threshold=10 |
4.9% | -70.7% | 0.30 | 0.07 | 3.2x | 194 | 41% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=11, mult=3.7 |
3.8% | -70.0% | 0.27 | 0.05 | 2.5x | 44 | 16% |
| Supertrend period=19, mult=4.7 |
2.5% | -85.6% | 0.24 | 0.03 | 1.8x | 67 | 45% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.0% | -93.5% | 0.13 | -0.01 | 0.8x | 178 | 47% |
| MACD fast=13, slow=51, signal=12 |
-11.8% | -99.3% | -0.12 | -0.12 | 0.0x | 353 | 52% |
| Buy and hold | -12.3% | -99.9% | 0.00 | -0.12 | 0.0x | 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 14-day average price crosses above the 146-day average
- Sell — Sell (to cash) when the 14-day average falls below the 146-day average