Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Industria de Diseno Textil, S.A. backtest
10 trend-following strategies were compared on the full daily history of Industria de Diseno Textil, S.A.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 11.5%, drawdown -55.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.7%, MDD -55.5%, Sharpe 0.53, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
11.7% | -55.5% | 0.53 | 0.21 | 16.1x | 5 | 100% |
| EMA 크로스오버 fast=19, slow=145 |
6.2% | -42.3% | 0.40 | 0.15 | 4.6x | 59 | 67% |
| Donchian 채널 돌파 entryN=79, exitN=62 |
5.6% | -48.9% | 0.38 | 0.12 | 4.0x | 44 | 59% |
| SMA 크로스오버 fast=10, slow=192 |
5.1% | -47.0% | 0.34 | 0.11 | 3.5x | 63 | 66% |
| Parabolic SAR step=0.01, maxStep=0.02 |
3.8% | -48.2% | 0.28 | 0.08 | 2.6x | 149 | 62% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=27, mult=3.5 |
0.5% | -5.5% | 0.22 | 0.09 | 1.1x | 8 | 1% |
| 볼린저 밴드 돌파 n=49, k=3.2 |
1.5% | -24.0% | 0.22 | 0.06 | 1.5x | 30 | 14% |
| Supertrend period=31, mult=4.4 |
2.1% | -56.5% | 0.20 | 0.04 | 1.7x | 95 | 66% |
| ADX / DI 방향성 period=39, threshold=25 |
0.7% | -11.5% | 0.18 | 0.06 | 1.2x | 10 | 3% |
| MACD fast=24, slow=54, signal=17 |
-2.9% | -73.6% | -0.06 | -0.04 | 0.5x | 271 | 50% |
| Buy and hold | 11.5% | -55.5% | 0.52 | 0.21 | 15.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -11%
- Sell — Sell when the 1-day return drops to -11% or below