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; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.2%, MDD -31.9%).

Data 2007-12-05 ~ 2026-07-31daily bars 4,765 (18.7 years)Costs 0.5%Venue BMEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 10.2%, drawdown -67.2%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.2%, MDD -31.9%, Sharpe 0.77, 38% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 15.8%, MDD -34.2%, exposure 59%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 35.3%p (CAGR 12.2%, MDD -31.9%, exposure 38%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=64, k=1.8
12.2%-31.9%0.770.388.5x5638%
SMA 크로스오버
fast=50, slow=121
15.8%-34.2%0.760.4615.3x3259%
Donchian 채널 돌파
entryN=57, exitN=78
15.0%-37.5%0.720.4013.7x2068%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=27, mult=1.9
10.7%-40.4%0.670.266.6x6838%
EMA 크로스오버
fast=18, slow=105
12.5%-37.7%0.650.339.0x5059%
ADX / DI 방향성
period=35, threshold=11
10.6%-38.3%0.640.286.6x13838%
Supertrend
period=10, mult=4.5
11.2%-37.2%0.580.307.2x4160%
ROC 모멘텀
n=137, threshold=0.03
9.7%-48.9%0.530.205.6x13056%
Parabolic SAR
step=0.005, maxStep=0.14
5.9%-58.1%0.380.102.9x14353%
MACD
fast=24, slow=46, signal=19
-3.0%-68.0%-0.04-0.040.6x19151%
Buy and hold10.2%-67.2%0.470.156.2x1100%
1x 10x 2008 2011 2014 2017 2020 2023 2026 SMA 크로스오버볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -17% -34% -50% -67% 2008 2011 2014 2017 2020 2023 2026 Buy and holdSMA 크로스오버볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -31.9% (2021-08-23 → 2023-07-28), recovered after 913 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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