Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Budimex SA backtest
10 trend-following strategies were compared on the full daily history of Budimex SA. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 12.6%, drawdown -74.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.6%, MDD -67.6%, Sharpe 0.66, 83% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=19, exitN=91 |
17.6% | -67.6% | 0.66 | 0.26 | 73.5x | 39 | 83% |
| SMA 크로스오버 fast=14, slow=162 |
12.8% | -61.1% | 0.57 | 0.21 | 24.7x | 63 | 61% |
| EMA 크로스오버 fast=31, slow=122 |
12.1% | -59.6% | 0.55 | 0.20 | 20.7x | 57 | 61% |
| ROC 모멘텀 n=125, threshold=0.01 |
11.0% | -65.1% | 0.51 | 0.17 | 16.1x | 193 | 59% |
| 볼린저 밴드 돌파 n=36, k=1.8 |
6.8% | -43.4% | 0.41 | 0.16 | 5.8x | 168 | 36% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=19, mult=2.2 |
5.6% | -62.1% | 0.36 | 0.09 | 4.3x | 132 | 36% |
| Supertrend period=14, mult=4.8 |
5.8% | -50.8% | 0.34 | 0.11 | 4.5x | 93 | 57% |
| MACD fast=17, slow=58, signal=19 |
4.7% | -64.7% | 0.30 | 0.07 | 3.4x | 268 | 51% |
| Parabolic SAR step=0.01, maxStep=0.26 |
4.2% | -55.9% | 0.29 | 0.08 | 3.0x | 332 | 50% |
| ADX / DI 방향성 period=13, threshold=26 |
0.1% | -52.0% | 0.08 | 0.00 | 1.0x | 224 | 21% |
| Buy and hold | 12.6% | -74.4% | 0.50 | 0.17 | 23.1x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 91 days