Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Banco Santander, S.A. backtest
10 trend-following strategies were compared on the full daily history of Banco Santander, S.A.. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.6%, MDD -28.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.8%, drawdown -88.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.8%, MDD -30.5%, Sharpe 0.41, 27% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.9%, MDD -48.4%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 58.2%p (CAGR 2.6%, MDD -28.9%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=11, mult=4 |
4.8% | -30.5% | 0.41 | 0.16 | 3.5x | 47 | 27% |
| SMA 크로스오버 fast=58, slow=217 |
5.9% | -48.4% | 0.39 | 0.12 | 4.5x | 33 | 48% |
| Donchian 채널 돌파 entryN=93, exitN=38 |
4.8% | -36.5% | 0.38 | 0.13 | 3.5x | 49 | 34% |
| EMA 크로스오버 fast=47, slow=131 |
4.8% | -46.8% | 0.34 | 0.10 | 3.5x | 37 | 51% |
| ROC 모멘텀 n=146, threshold=0.03 |
4.3% | -42.9% | 0.32 | 0.10 | 3.1x | 187 | 45% |
| ADX / DI 방향성 period=31, threshold=17 |
2.6% | -28.9% | 0.27 | 0.09 | 2.0x | 98 | 15% |
| 볼린저 밴드 돌파 n=71, k=2.3 |
2.6% | -30.0% | 0.26 | 0.09 | 2.0x | 57 | 26% |
| Supertrend period=9, mult=4.7 |
1.3% | -72.0% | 0.17 | 0.02 | 1.4x | 85 | 53% |
| MACD fast=19, slow=52, signal=19 |
-3.0% | -84.2% | -0.03 | -0.04 | 0.4x | 278 | 49% |
| Parabolic SAR step=0.01, maxStep=0.02 |
-3.0% | -87.7% | -0.03 | -0.03 | 0.5x | 169 | 56% |
| Buy and hold | 0.8% | -88.6% | 0.20 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 77-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 77-day average