Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Sacyr SA backtest
10 trend-following strategies were compared on the full daily history of Sacyr SA. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.6%, MDD -20.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.4%, drawdown -98.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.4%, MDD -43.0%, Sharpe 0.47, 36% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.0%, MDD -61.8%, exposure 64%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 55.0%p (CAGR 1.6%, MDD -20.1%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=27, exitN=12 |
8.4% | -43.0% | 0.47 | 0.19 | 8.5x | 150 | 36% |
| ROC 모멘텀 n=128, threshold=-0.04 |
9.0% | -61.8% | 0.45 | 0.15 | 9.9x | 156 | 64% |
| 볼린저 밴드 돌파 n=38, k=1.9 |
7.2% | -55.6% | 0.43 | 0.13 | 6.5x | 156 | 34% |
| EMA 크로스오버 fast=23, slow=26 |
7.8% | -56.2% | 0.41 | 0.14 | 7.4x | 142 | 54% |
| Parabolic SAR step=0.005, maxStep=0.26 |
6.7% | -64.5% | 0.37 | 0.10 | 5.7x | 222 | 49% |
| Supertrend period=18, mult=3.2 |
6.4% | -67.1% | 0.36 | 0.10 | 5.2x | 166 | 49% |
| SMA 크로스오버 fast=13, slow=134 |
6.3% | -63.3% | 0.36 | 0.10 | 5.1x | 74 | 55% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=16, mult=2.4 |
5.2% | -49.8% | 0.35 | 0.11 | 3.9x | 116 | 32% |
| MACD fast=23, slow=34, signal=13 |
4.2% | -64.7% | 0.28 | 0.06 | 3.0x | 304 | 50% |
| ADX / DI 방향성 period=40, threshold=28 |
1.6% | -20.1% | 0.24 | 0.08 | 1.5x | 8 | 4% |
| Buy and hold | -1.4% | -98.1% | 0.18 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 27 days
- Sell — Sell when price breaks below the lowest low of the last 12 days