Trend-Following Backtester · Guide · backtest 한국어

equity · ES

eDreams ODIGEO backtest

10 trend-following strategies were compared on the full daily history of eDreams ODIGEO. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.1%, MDD -19.3%).

Data 2014-04-08 ~ 2026-07-31daily bars 3,149 (12.3 years)Costs 0.5%Venue BMEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -4.7%, drawdown -91.0%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 24.3%, MDD -51.3%, Sharpe 0.88, 37% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 29.0%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 9.1%, MDD -19.3%, exposure 12%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=33, k=1.2
24.3%-51.3%0.880.4714.6x8937%
Donchian 채널 돌파
entryN=51, exitN=23
18.9%-42.5%0.750.448.4x2941%
ROC 모멘텀
n=32, threshold=-0.04
21.5%-50.9%0.710.4211.0x18760%
Keltner 채널 돌파
emaPeriod=17, atrPeriod=20, mult=3.2
9.1%-19.3%0.690.472.9x2612%
Supertrend
period=12, mult=4.7
16.1%-54.6%0.620.306.3x3352%
MACD
fast=19, slow=68, signal=18
19.0%-76.7%0.620.258.5x10753%
SMA 크로스오버
fast=21, slow=82
12.5%-63.3%0.530.204.3x3950%
Parabolic SAR
step=0.035, maxStep=0.22
11.7%-77.5%0.500.153.9x33751%
ADX / DI 방향성
period=14, threshold=11
11.5%-62.4%0.490.183.8x24947%
EMA 크로스오버
fast=34, slow=46
8.4%-67.4%0.410.122.7x4152%
Buy and hold-4.7%-91.0%0.22-0.050.6x1100%
1x 10x 2015 2017 2019 2021 2023 2025 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -46% -68% -91% 2015 2017 2019 2021 2023 2025 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -51.3% (2018-03-07 → 2020-10-15), recovered after 1,183 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next