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 8.1%, MDD -61.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.9%, drawdown -79.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.1%, MDD -61.0%, Sharpe 0.41, 91% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 8.1%, MDD -61.0%, exposure 91%).
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=2, exitN=45 |
8.1% | -61.0% | 0.41 | 0.13 | 4.9x | 123 | 91% |
| ADX / DI 방향성 period=39, threshold=26 |
2.2% | -15.4% | 0.39 | 0.14 | 1.6x | 8 | 4% |
| MACD fast=19, slow=59, signal=18 |
4.5% | -53.8% | 0.30 | 0.08 | 2.4x | 186 | 52% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=21, mult=2.8 |
3.8% | -61.8% | 0.30 | 0.06 | 2.1x | 67 | 34% |
| Supertrend period=13, mult=4.1 |
3.8% | -66.4% | 0.28 | 0.06 | 2.1x | 95 | 55% |
| EMA 크로스오버 fast=76, slow=124 |
2.6% | -74.8% | 0.23 | 0.04 | 1.7x | 30 | 52% |
| SMA 크로스오버 fast=57, slow=210 |
2.2% | -55.9% | 0.21 | 0.04 | 1.6x | 28 | 50% |
| 볼린저 밴드 돌파 n=40, k=1.2 |
2.2% | -57.9% | 0.21 | 0.04 | 1.6x | 151 | 43% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.1% | -61.8% | 0.16 | 0.02 | 1.3x | 171 | 52% |
| ROC 모멘텀 n=136, threshold=0.09 |
0.6% | -63.1% | 0.13 | 0.01 | 1.1x | 170 | 39% |
| Buy and hold | 6.9% | -79.8% | 0.37 | 0.09 | 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 2 days
- Sell — Sell when price breaks below the lowest low of the last 45 days