Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Corporacion Acciona Energias Renovables SA backtest
10 trend-following strategies were compared on the full daily history of Corporacion Acciona Energias Renovables SA. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.1%, MDD -5.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -5.9%, drawdown -66.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.3%, MDD -14.0%, Sharpe 0.25, 4% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.2%, MDD -23.2%, exposure 33%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 52.2%p (CAGR 1.1%, MDD -5.8%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=16, mult=2.4 |
1.3% | -14.0% | 0.25 | 0.09 | 1.1x | 6 | 4% |
| 볼린저 밴드 돌파 n=20, k=3.3 |
1.1% | -5.8% | 0.24 | 0.19 | 1.1x | 4 | 3% |
| ROC 모멘텀 n=52, threshold=0.19 |
1.5% | -19.5% | 0.23 | 0.08 | 1.1x | 22 | 7% |
| EMA 크로스오버 fast=37, slow=180 |
2.2% | -23.2% | 0.21 | 0.10 | 1.1x | 6 | 33% |
| ADX / DI 방향성 period=25, threshold=14 |
0.5% | -21.3% | 0.11 | 0.02 | 1.0x | 42 | 25% |
| Donchian 채널 돌파 entryN=98, exitN=45 |
0.5% | -27.0% | 0.11 | 0.02 | 1.0x | 6 | 20% |
| SMA 크로스오버 fast=35, slow=159 |
0.2% | -27.2% | 0.10 | 0.01 | 1.0x | 8 | 30% |
| Supertrend period=21, mult=2.4 |
-7.8% | -58.9% | -0.28 | -0.13 | 0.7x | 46 | 45% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-8.3% | -56.2% | -0.30 | -0.15 | 0.6x | 75 | 41% |
| MACD fast=10, slow=39, signal=20 |
-10.6% | -60.3% | -0.40 | -0.18 | 0.6x | 75 | 48% |
| Buy and hold | -5.9% | -66.2% | -0.03 | -0.09 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 2.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average