Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Metrovacesa SA backtest
10 trend-following strategies were compared on the full daily history of Metrovacesa SA. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.9%, MDD -20.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.3%, drawdown -70.7%).
Sharpe leader (same as main): MACD — CAGR 4.7%, MDD -26.4%, Sharpe 0.31, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 1.9%, MDD -20.0%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=22, slow=34, signal=17 |
4.7% | -26.4% | 0.31 | 0.18 | 1.5x | 78 | 49% |
| Parabolic SAR step=0.015, maxStep=0.06 |
3.6% | -37.4% | 0.27 | 0.10 | 1.4x | 110 | 50% |
| 볼린저 밴드 돌파 n=15, k=2.5 |
2.4% | -25.2% | 0.24 | 0.10 | 1.2x | 44 | 16% |
| SMA 크로스오버 fast=41, slow=216 |
2.6% | -29.5% | 0.23 | 0.09 | 1.2x | 11 | 53% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=28, mult=1.7 |
1.9% | -20.0% | 0.21 | 0.10 | 1.2x | 34 | 11% |
| EMA 크로스오버 fast=57, slow=192 |
1.7% | -31.6% | 0.18 | 0.05 | 1.1x | 7 | 52% |
| Supertrend period=29, mult=1.9 |
0.4% | -58.0% | 0.12 | 0.01 | 1.0x | 79 | 50% |
| ADX / DI 방향성 period=9, threshold=37 |
0.1% | -22.4% | 0.08 | 0.01 | 1.0x | 64 | 20% |
| ROC 모멘텀 n=25, threshold=0.01 |
-3.6% | -39.4% | -0.09 | -0.09 | 0.7x | 154 | 42% |
| Donchian 채널 돌파 entryN=20, exitN=65 |
-6.9% | -55.0% | -0.16 | -0.13 | 0.5x | 27 | 73% |
| Buy and hold | -4.3% | -70.7% | 0.01 | -0.06 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (22/34) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line