Trend-Following Backtester · Guide · backtest 한국어

equity · ES

Atresmedia Corporacion de Medios de Comunicacion SA backtest

10 trend-following strategies were compared on the full daily history of Atresmedia Corporacion de Medios de Comunicacion SA. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.8%, MDD -22.1%).

Data 2003-10-29 ~ 2026-07-30daily bars 5,826 (22.8 years)Costs 0.5%Venue BMEMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR -1.2%, drawdown -90.8%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.8%, MDD -22.1%, Sharpe 0.49, 4% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 6.4%, MDD -58.8%, exposure 32%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 68.7%p (CAGR 3.8%, MDD -22.1%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=13, atrPeriod=25, mult=3.3
3.8%-22.1%0.490.172.3x174%
볼린저 밴드 돌파
n=54, k=3.4
4.7%-22.7%0.440.212.8x1810%
Donchian 채널 돌파
entryN=77, exitN=28
6.4%-58.8%0.410.114.1x4232%
EMA 크로스오버
fast=31, slow=145
6.3%-46.6%0.380.144.0x4247%
ROC 모멘텀
n=145, threshold=0.04
5.8%-55.3%0.370.113.6x13340%
Supertrend
period=26, mult=4.9
4.1%-72.4%0.280.062.5x6549%
SMA 크로스오버
fast=36, slow=100
3.5%-59.0%0.260.062.2x6047%
ADX / DI 방향성
period=23, threshold=13
-0.6%-79.2%0.07-0.010.9x26134%
Parabolic SAR
step=0.015, maxStep=0.16
-2.2%-84.7%0.03-0.030.6x38748%
MACD
fast=17, slow=50, signal=20
-7.6%-92.7%-0.18-0.080.2x25549%
Buy and hold-1.2%-90.8%0.14-0.010.8x1100%
1x 2004 2007 2010 2013 2016 2019 2022 2025 Donchian 채널 돌파Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -23% -45% -68% -91% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdDonchian 채널 돌파Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -22.1% (2004-10-13 → 2009-04-21), recovered after 1,667 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

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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