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 Parabolic SAR (CAGR 39.0%, MDD -18.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 45.4%, drawdown -36.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 57.1%, MDD -26.7%, Sharpe 1.54, 76% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 10.1%p (CAGR 39.0%, MDD -18.5%, exposure 56%).
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 |
57.1% | -26.7% | 1.54 | 2.14 | 10.0x | 2 | 76% |
| SMA 크로스오버 fast=52, slow=101 |
49.7% | -36.8% | 1.40 | 1.35 | 7.8x | 5 | 70% |
| EMA 크로스오버 fast=25, slow=60 |
49.5% | -31.3% | 1.39 | 1.58 | 7.8x | 8 | 71% |
| ROC 모멘텀 n=128, threshold=0.09 |
48.0% | -36.8% | 1.38 | 1.30 | 7.4x | 11 | 58% |
| Supertrend period=18, mult=3.7 |
44.0% | -24.6% | 1.31 | 1.79 | 6.4x | 22 | 64% |
| Parabolic SAR step=0.005, maxStep=0.2 |
39.0% | -18.5% | 1.27 | 2.11 | 5.4x | 30 | 56% |
| ADX / DI 방향성 period=48, threshold=13 |
39.9% | -34.5% | 1.26 | 1.16 | 5.5x | 14 | 47% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=8, mult=2.9 |
31.1% | -26.9% | 1.17 | 1.16 | 4.0x | 22 | 35% |
| 볼린저 밴드 돌파 n=48, k=2 |
29.4% | -22.1% | 1.06 | 1.33 | 3.7x | 24 | 42% |
| MACD fast=17, slow=20, signal=17 |
12.8% | -50.3% | 0.57 | 0.26 | 1.9x | 76 | 49% |
| Buy and hold | 45.4% | -36.8% | 1.22 | 1.23 | 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