Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Acciona SA backtest
10 trend-following strategies were compared on the full daily history of Acciona SA. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.4%, MDD -52.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.5%, drawdown -87.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -52.5%, Sharpe 0.47, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 8.4%, MDD -52.5%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=209 |
8.4% | -52.5% | 0.47 | 0.16 | 8.6x | 37 | 58% |
| EMA 크로스오버 fast=53, slow=247 |
8.1% | -57.6% | 0.46 | 0.14 | 7.9x | 23 | 56% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=37, mult=2.7 |
3.8% | -47.0% | 0.32 | 0.08 | 2.7x | 96 | 25% |
| 볼린저 밴드 돌파 n=45, k=2 |
4.1% | -46.0% | 0.32 | 0.09 | 2.9x | 118 | 32% |
| Donchian 채널 돌파 entryN=27, exitN=13 |
4.1% | -40.0% | 0.30 | 0.10 | 2.9x | 150 | 40% |
| ROC 모멘텀 n=132, threshold=0.05 |
3.8% | -50.8% | 0.28 | 0.07 | 2.7x | 211 | 48% |
| Supertrend period=21, mult=5 |
3.3% | -53.7% | 0.26 | 0.06 | 2.4x | 78 | 51% |
| ADX / DI 방향성 period=24, threshold=37 |
0.6% | -15.7% | 0.19 | 0.04 | 1.2x | 8 | 2% |
| MACD fast=18, slow=36, signal=14 |
-0.2% | -54.7% | 0.11 | -0.00 | 1.0x | 348 | 53% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-4.9% | -85.0% | -0.11 | -0.06 | 0.3x | 643 | 53% |
| Buy and hold | 5.5% | -87.4% | 0.32 | 0.06 | 4.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 51-day average falls below the 209-day average