Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Banco Bilbao Vizcaya Argentaria, S.A. backtest
10 trend-following strategies were compared on the full daily history of Banco Bilbao Vizcaya Argentaria, S.A.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.2%, MDD -10.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.2%, drawdown -88.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.7%, MDD -34.3%, Sharpe 0.54, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 54.5%p (CAGR 2.2%, MDD -10.0%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=35, slow=263 |
8.7% | -34.3% | 0.54 | 0.25 | 9.1x | 21 | 51% |
| EMA 크로스오버 fast=45, slow=218 |
7.8% | -41.0% | 0.49 | 0.19 | 7.3x | 21 | 52% |
| Donchian 채널 돌파 entryN=112, exitN=76 |
7.1% | -46.5% | 0.48 | 0.15 | 6.2x | 29 | 43% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
2.2% | -10.0% | 0.43 | 0.22 | 1.8x | 8 | 3% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=16, mult=4 |
1.5% | -16.7% | 0.28 | 0.09 | 1.5x | 20 | 4% |
| ROC 모멘텀 n=111, threshold=0.04 |
2.8% | -59.9% | 0.24 | 0.05 | 2.1x | 225 | 43% |
| Supertrend period=15, mult=5 |
2.6% | -75.5% | 0.23 | 0.03 | 2.0x | 81 | 50% |
| ADX / DI 방향성 period=39, threshold=13 |
1.0% | -48.6% | 0.14 | 0.02 | 1.3x | 139 | 25% |
| MACD fast=18, slow=41, signal=24 |
-2.7% | -83.0% | -0.01 | -0.03 | 0.5x | 285 | 49% |
| Parabolic SAR step=0.02, maxStep=0.34 |
-10.2% | -98.6% | -0.36 | -0.10 | 0.1x | 615 | 51% |
| Buy and hold | 2.2% | -88.8% | 0.23 | 0.02 | 1.8x | 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 35-day average price crosses above the 263-day average
- Sell — Sell (to cash) when the 35-day average falls below the 263-day average