Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Bankinter SA backtest
10 trend-following strategies were compared on the full daily history of Bankinter SA. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR -1.2%, drawdown -98.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR -2.9%, MDD -97.5%, Sharpe 0.29, 63% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.2%, MDD -92.8%, exposure 53%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=36, threshold=-0.02 |
-2.9% | -97.5% | 0.29 | -0.03 | 0.5x | 453 | 63% |
| SMA 크로스오버 fast=28, slow=276 |
8.2% | -92.8% | 0.29 | 0.09 | 8.1x | 31 | 53% |
| EMA 크로스오버 fast=83, slow=181 |
7.2% | -95.0% | 0.29 | 0.08 | 6.4x | 21 | 51% |
| Donchian 채널 돌파 entryN=41, exitN=208 |
-4.2% | -98.5% | 0.26 | -0.04 | 0.3x | 31 | 80% |
| Supertrend period=9, mult=5 |
-6.8% | -98.0% | 0.24 | -0.07 | 0.2x | 83 | 54% |
| ADX / DI 방향성 period=47, threshold=11 |
-6.7% | -97.3% | 0.23 | -0.07 | 0.2x | 134 | 31% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=8, mult=1.2 |
-9.9% | -97.5% | 0.22 | -0.10 | 0.1x | 185 | 46% |
| 볼린저 밴드 돌파 n=11, k=1.2 |
-11.7% | -99.3% | 0.18 | -0.12 | 0.0x | 641 | 40% |
| MACD fast=9, slow=22, signal=15 |
-12.2% | -98.3% | 0.13 | -0.12 | 0.0x | 479 | 51% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-25.6% | -100.0% | 0.07 | -0.26 | 0.0x | 546 | 51% |
| Buy and hold | -1.2% | -98.0% | 0.33 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 36-day return is greater than -2%
- Sell — Sell when the 36-day return drops to -2% or below