Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Arteche Lantegi Elkartea SA backtest
10 trend-following strategies were compared on the full daily history of Arteche Lantegi Elkartea SA. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 43.1%, MDD -24.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 44.5%, drawdown -36.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 56.0%, MDD -26.7%, Sharpe 1.53, 75% exposure.
Return/drawdown alternative: Supertrend — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 10.1%p (CAGR 43.1%, MDD -24.6%, exposure 63%).
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=64, exitN=34 |
56.0% | -26.7% | 1.53 | 2.09 | 10.0x | 2 | 75% |
| SMA 크로스오버 fast=52, slow=101 |
49.3% | -36.8% | 1.40 | 1.34 | 8.0x | 6 | 70% |
| EMA 크로스오버 fast=25, slow=60 |
48.5% | -31.3% | 1.38 | 1.55 | 7.8x | 8 | 70% |
| ROC 모멘텀 n=128, threshold=0.09 |
47.1% | -36.8% | 1.36 | 1.28 | 7.4x | 11 | 58% |
| Supertrend period=18, mult=3.7 |
43.1% | -24.6% | 1.30 | 1.75 | 6.4x | 22 | 63% |
| Parabolic SAR step=0.005, maxStep=0.2 |
38.1% | -18.5% | 1.25 | 2.06 | 5.3x | 31 | 56% |
| ADX / DI 방향성 period=48, threshold=13 |
39.1% | -34.5% | 1.25 | 1.13 | 5.5x | 14 | 46% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=8, mult=2.9 |
30.5% | -26.9% | 1.16 | 1.13 | 4.0x | 22 | 35% |
| 볼린저 밴드 돌파 n=48, k=2 |
28.9% | -22.1% | 1.05 | 1.31 | 3.7x | 24 | 41% |
| MACD fast=17, slow=20, signal=17 |
12.0% | -50.3% | 0.55 | 0.24 | 1.8x | 79 | 50% |
| Buy and hold | 44.5% | -36.8% | 1.20 | 1.21 | 6.7x | 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 64 days
- Sell — Sell when price breaks below the lowest low of the last 34 days