Trend-Following Backtester · Guide · backtest 한국어

equity · ES

Grifols, S.A. Class A backtest

10 trend-following strategies were compared on the full daily history of Grifols, S.A. Class A. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.2%, MDD -61.0%).

Data 2006-05-17 ~ 2026-07-31daily bars 5,165 (20.2 years)Costs 0.5%Venue BMEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 7.0%, drawdown -79.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.2%, MDD -61.0%, Sharpe 0.41, 90% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 8.2%, MDD -61.0%, exposure 90%).

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
Donchian 채널 돌파
entryN=2, exitN=45
8.2%-61.0%0.410.134.9x12390%
ADX / DI 방향성
period=39, threshold=26
2.2%-15.4%0.390.151.6x84%
MACD
fast=19, slow=59, signal=18
4.6%-53.8%0.310.082.5x18552%
Keltner 채널 돌파
emaPeriod=67, atrPeriod=21, mult=2.8
3.9%-61.8%0.300.062.1x6734%
Supertrend
period=13, mult=4.1
3.9%-66.4%0.280.062.2x9555%
EMA 크로스오버
fast=76, slow=124
2.7%-74.8%0.230.041.7x3052%
볼린저 밴드 돌파
n=40, k=1.2
2.3%-57.9%0.210.041.6x15143%
SMA 크로스오버
fast=57, slow=210
2.2%-55.9%0.210.041.6x2850%
Parabolic SAR
step=0.005, maxStep=0.28
1.2%-61.8%0.170.021.3x17152%
ROC 모멘텀
n=136, threshold=0.09
0.6%-63.1%0.130.011.1x17039%
Buy and hold7.0%-79.8%0.370.093.9x1100%
1x 10x 2007 2010 2013 2016 2019 2022 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -40% -60% -80% 2007 2010 2013 2016 2019 2022 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -61.0% (2020-02-21 → 2025-04-17), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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