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 6.8%, MDD -35.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -46.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.8%, MDD -35.4%, Sharpe 0.45, 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 6.8%, 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 |
6.8% | -35.4% | 0.45 | 0.19 | 2.2x | 25 | 89% |
| SMA 크로스오버 fast=38, slow=67 |
5.6% | -28.1% | 0.43 | 0.20 | 1.9x | 45 | 58% |
| ROC 모멘텀 n=72, threshold=-0.08 |
6.1% | -37.9% | 0.41 | 0.16 | 2.0x | 61 | 86% |
| EMA 크로스오버 fast=39, slow=82 |
4.6% | -29.2% | 0.36 | 0.16 | 1.7x | 25 | 67% |
| MACD fast=16, slow=43, signal=22 |
3.0% | -35.9% | 0.28 | 0.08 | 1.4x | 132 | 51% |
| Supertrend period=29, mult=2.8 |
1.7% | -39.3% | 0.19 | 0.04 | 1.2x | 90 | 56% |
| 볼린저 밴드 돌파 n=24, k=1.6 |
0.1% | -36.5% | 0.07 | 0.00 | 1.0x | 124 | 40% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.0% | -37.9% | 0.07 | -0.00 | 1.0x | 114 | 54% |
| ADX / DI 방향성 period=19, threshold=17 |
-0.5% | -32.8% | 0.01 | -0.02 | 0.9x | 123 | 32% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=23, mult=2.1 |
-1.1% | -32.1% | -0.06 | -0.03 | 0.9x | 66 | 27% |
| Buy and hold | 8.5% | -46.6% | 0.49 | 0.18 | 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