Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Ebro Foods SA backtest
10 trend-following strategies were compared on the full daily history of Ebro Foods SA. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.1%, MDD -4.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.0%, drawdown -58.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.1%, MDD -4.6%, Sharpe 0.45, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.5%, MDD -51.0%, exposure 68%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 53.8%p (CAGR 1.1%, MDD -4.6%, exposure 2%).
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=20, atrPeriod=10, mult=3.9 |
1.1% | -4.6% | 0.45 | 0.24 | 1.3x | 4 | 2% |
| ADX / DI 방향성 period=25, threshold=32 |
1.2% | -7.2% | 0.38 | 0.16 | 1.4x | 14 | 3% |
| Donchian 채널 돌파 entryN=44, exitN=74 |
2.5% | -51.0% | 0.23 | 0.05 | 1.9x | 45 | 68% |
| SMA 크로스오버 fast=29, slow=104 |
1.6% | -45.7% | 0.18 | 0.04 | 1.5x | 78 | 52% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
1.1% | -24.8% | 0.18 | 0.04 | 1.3x | 28 | 14% |
| Supertrend period=22, mult=4.7 |
1.4% | -54.6% | 0.17 | 0.03 | 1.4x | 58 | 52% |
| EMA 크로스오버 fast=36, slow=102 |
0.9% | -45.4% | 0.13 | 0.02 | 1.3x | 62 | 54% |
| ROC 모멘텀 n=52, threshold=-0.11 |
-1.2% | -76.8% | 0.03 | -0.02 | 0.7x | 115 | 92% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-5.7% | -79.8% | -0.32 | -0.07 | 0.2x | 227 | 52% |
| MACD fast=18, slow=36, signal=12 |
-5.8% | -86.2% | -0.34 | -0.07 | 0.2x | 361 | 50% |
| Buy and hold | 1.0% | -58.4% | 0.15 | 0.02 | 1.3x | 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 20-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average