Trend-Following Backtester · Guide · backtest 한국어
equity · ES
MERLIN Properties SOCIMI, S.A. backtest
10 trend-following strategies were compared on the full daily history of MERLIN Properties SOCIMI, S.A.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.8%, MDD -30.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.8%, drawdown -57.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.7%, MDD -1.4%, Sharpe 0.61, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.6%, MDD -36.3%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 55.9%p (CAGR 3.8%, MDD -30.5%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=44 |
0.7% | -1.4% | 0.61 | 0.52 | 1.1x | 2 | 1% |
| ROC 모멘텀 Hold-like · Exposure 97% n=8, threshold=-0.08 |
5.6% | -36.3% | 0.34 | 0.15 | 1.9x | 63 | 97% |
| EMA 크로스오버 fast=38, slow=118 |
3.8% | -30.5% | 0.30 | 0.12 | 1.6x | 23 | 63% |
| SMA 크로스오버 fast=56, slow=186 |
3.6% | -35.0% | 0.29 | 0.10 | 1.5x | 17 | 60% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
0.9% | -11.8% | 0.24 | 0.08 | 1.1x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=11, mult=2.4 |
1.0% | -22.0% | 0.16 | 0.04 | 1.1x | 24 | 8% |
| Donchian 채널 돌파 entryN=99, exitN=73 |
1.2% | -32.7% | 0.16 | 0.04 | 1.2x | 19 | 51% |
| Supertrend period=25, mult=5 |
-1.4% | -62.4% | 0.01 | -0.02 | 0.8x | 37 | 61% |
| MACD fast=15, slow=22, signal=10 |
-4.6% | -67.1% | -0.15 | -0.07 | 0.6x | 218 | 50% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-7.4% | -69.3% | -0.30 | -0.11 | 0.4x | 264 | 53% |
| Buy and hold | 4.8% | -57.3% | 0.31 | 0.08 | 1.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 44
- Sell — Sell when direction flips or the trend weakens (ADX < 44)