Trend-Following Backtester · Guide · backtest 한국어

equity · ES

Neinor Homes SA backtest

10 trend-following strategies were compared on the full daily history of Neinor Homes SA. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.1%, MDD -9.3%).

Data 2017-03-29 ~ 2026-07-31daily bars 2,387 (9.3 years)Costs 0.5%Venue BMEMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR -0.8%, drawdown -65.1%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.1%, MDD -9.3%, Sharpe 0.59, 8% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 55.8%p (CAGR 4.1%, MDD -9.3%, exposure 8%).

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
ADX / DI 방향성
period=36, threshold=23
4.1%-9.3%0.590.441.5x68%
MACD
fast=32, slow=43, signal=30
1.9%-31.9%0.200.061.2x6348%
Donchian 채널 돌파
entryN=106, exitN=70
1.8%-26.1%0.190.071.2x840%
SMA 크로스오버
fast=14, slow=43
1.7%-27.4%0.180.061.2x6252%
볼린저 밴드 돌파
n=53, k=2.7
1.1%-26.8%0.160.041.1x2019%
Keltner 채널 돌파
emaPeriod=55, atrPeriod=16, mult=3.9
0.8%-16.4%0.130.051.1x1014%
Supertrend
period=16, mult=2.6
0.4%-53.7%0.110.011.0x5855%
EMA 크로스오버
fast=29, slow=54
0.3%-43.8%0.100.011.0x3250%
Parabolic SAR
step=0.005, maxStep=0.24
-3.2%-47.9%-0.09-0.070.7x8052%
ROC 모멘텀
n=61, threshold=0.08
-2.2%-39.7%-0.11-0.060.8x9626%
Buy and hold-0.8%-65.1%0.11-0.010.9x1100%
1x 2018 2020 2022 2024 2026 ADX / DI 방향성Buy and hold
ADX / DI 방향성: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -33% -49% -65% 2018 2020 2022 2024 2026 Buy and holdADX / DI 방향성
ADX / DI 방향성 maximum drawdown -9.3% (2024-07-15 → 2024-08-05), recovered after 60 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

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

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