Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Ferrovial N.V. backtest
10 trend-following strategies were compared on the full daily history of Ferrovial N.V.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.4%, MDD -28.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.1%, drawdown -91.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -32.3%, Sharpe 0.49, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 59.6%p (CAGR 5.4%, MDD -28.6%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=114, exitN=36 |
6.8% | -32.3% | 0.49 | 0.21 | 5.7x | 48 | 45% |
| 볼린저 밴드 돌파 n=96, k=2.6 |
5.4% | -28.6% | 0.48 | 0.19 | 4.0x | 40 | 30% |
| Supertrend period=12, mult=5 |
6.5% | -56.5% | 0.42 | 0.12 | 5.4x | 68 | 59% |
| SMA 크로스오버 fast=59, slow=167 |
4.5% | -80.9% | 0.36 | 0.06 | 3.2x | 42 | 62% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=14, mult=3.4 |
3.0% | -36.1% | 0.32 | 0.08 | 2.2x | 66 | 23% |
| ROC 모멘텀 n=136, threshold=0.04 |
4.2% | -40.7% | 0.31 | 0.10 | 3.0x | 234 | 56% |
| EMA 크로스오버 fast=47, slow=217 |
1.7% | -80.6% | 0.25 | 0.02 | 1.6x | 35 | 62% |
| ADX / DI 방향성 period=25, threshold=25 |
1.3% | -16.6% | 0.22 | 0.08 | 1.4x | 42 | 8% |
| Parabolic SAR step=0.005, maxStep=0.1 |
0.7% | -52.5% | 0.13 | 0.01 | 1.2x | 224 | 59% |
| MACD fast=25, slow=52, signal=18 |
-4.0% | -74.2% | -0.12 | -0.05 | 0.3x | 280 | 53% |
| Buy and hold | 5.1% | -91.9% | 0.36 | 0.06 | 3.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 114 days
- Sell — Sell when price breaks below the lowest low of the last 36 days