Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Laboratorios Farmaceuticos Rovi, S.A. backtest
10 trend-following strategies were compared on the full daily history of Laboratorios Farmaceuticos Rovi, S.A.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.0%, MDD -31.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 10.4%, drawdown -67.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.7%, MDD -34.2%, Sharpe 0.76, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 12.0%, MDD -31.9%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=121 |
15.7% | -34.2% | 0.76 | 0.46 | 15.3x | 32 | 59% |
| 볼린저 밴드 돌파 n=64, k=1.8 |
12.0% | -31.9% | 0.76 | 0.38 | 8.4x | 57 | 37% |
| Donchian 채널 돌파 entryN=57, exitN=78 |
14.9% | -37.5% | 0.71 | 0.40 | 13.4x | 21 | 68% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=27, mult=1.9 |
10.6% | -40.4% | 0.67 | 0.26 | 6.6x | 68 | 38% |
| EMA 크로스오버 fast=18, slow=105 |
12.5% | -37.7% | 0.65 | 0.33 | 9.0x | 50 | 59% |
| ADX / DI 방향성 period=35, threshold=11 |
10.5% | -38.3% | 0.64 | 0.28 | 6.5x | 139 | 38% |
| Supertrend period=10, mult=4.5 |
11.4% | -37.2% | 0.59 | 0.30 | 7.5x | 41 | 60% |
| ROC 모멘텀 n=137, threshold=0.03 |
9.7% | -48.9% | 0.53 | 0.20 | 5.6x | 130 | 56% |
| Parabolic SAR step=0.005, maxStep=0.14 |
6.1% | -58.1% | 0.39 | 0.11 | 3.0x | 143 | 53% |
| MACD fast=24, slow=46, signal=19 |
-2.8% | -68.0% | -0.03 | -0.04 | 0.6x | 191 | 51% |
| Buy and hold | 10.4% | -67.2% | 0.47 | 0.15 | 6.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 121-day average
- Sell — Sell (to cash) when the 50-day average falls below the 121-day average