Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Tubacex, S.A. backtest
10 trend-following strategies were compared on the full daily history of Tubacex, S.A.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.8%, MDD -49.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.7%, drawdown -87.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.8%, MDD -49.5%, Sharpe 0.44, 50% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 7.8%, MDD -49.5%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=70, slow=377 |
7.8% | -49.5% | 0.44 | 0.16 | 7.3x | 14 | 50% |
| SMA 크로스오버 fast=41, slow=206 |
5.5% | -71.9% | 0.34 | 0.08 | 4.1x | 36 | 57% |
| Donchian 채널 돌파 entryN=98, exitN=73 |
3.2% | -69.0% | 0.25 | 0.05 | 2.3x | 36 | 51% |
| Supertrend period=23, mult=4 |
3.1% | -64.5% | 0.24 | 0.05 | 2.2x | 102 | 55% |
| MACD fast=13, slow=25, signal=23 |
2.4% | -65.1% | 0.22 | 0.04 | 1.9x | 356 | 49% |
| ROC 모멘텀 n=108, threshold=-0.02 |
1.6% | -63.7% | 0.19 | 0.03 | 1.5x | 224 | 60% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
0.1% | -67.7% | 0.11 | 0.00 | 1.0x | 188 | 42% |
| ADX / DI 방향성 period=38, threshold=13 |
0.3% | -73.6% | 0.11 | 0.00 | 1.1x | 154 | 32% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=19, mult=1.6 |
-0.4% | -75.2% | 0.09 | -0.00 | 0.9x | 160 | 42% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-2.1% | -77.6% | 0.04 | -0.03 | 0.6x | 444 | 50% |
| Buy and hold | 1.7% | -87.9% | 0.22 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 70-day EMA crosses above the 377-day EMA
- Sell — Sell when the 70-day EMA falls below the 377-day EMA