Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Logista Integral, S.A. backtest
10 trend-following strategies were compared on the full daily history of Logista Integral, S.A.. 0 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 7.0%, MDD -35.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.8%, drawdown -46.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.0%, MDD -35.4%, Sharpe 0.46, 89% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 11.2%p (CAGR 7.0%, MDD -35.4%, exposure 89%).
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=12, exitN=98 |
7.0% | -35.4% | 0.46 | 0.20 | 2.3x | 25 | 89% |
| SMA 크로스오버 fast=38, slow=67 |
5.8% | -28.1% | 0.45 | 0.21 | 2.0x | 45 | 58% |
| ROC 모멘텀 n=72, threshold=-0.08 |
6.3% | -37.9% | 0.43 | 0.17 | 2.1x | 61 | 86% |
| EMA 크로스오버 fast=39, slow=82 |
4.9% | -29.2% | 0.37 | 0.17 | 1.8x | 25 | 67% |
| MACD fast=16, slow=43, signal=22 |
3.3% | -35.9% | 0.30 | 0.09 | 1.5x | 131 | 51% |
| Supertrend period=29, mult=2.8 |
2.1% | -39.3% | 0.21 | 0.05 | 1.3x | 89 | 56% |
| 볼린저 밴드 돌파 n=24, k=1.6 |
0.4% | -36.5% | 0.09 | 0.01 | 1.0x | 123 | 40% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.3% | -37.9% | 0.09 | 0.01 | 1.0x | 113 | 54% |
| ADX / DI 방향성 period=19, threshold=17 |
-0.3% | -32.8% | 0.03 | -0.01 | 1.0x | 122 | 31% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=23, mult=2.1 |
-0.8% | -30.8% | -0.03 | -0.03 | 0.9x | 65 | 26% |
| Buy and hold | 8.8% | -46.6% | 0.51 | 0.19 | 2.7x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 98 days