Trend-Following Backtester · Guide · backtest 한국어
equity · ES
CaixaBank SA backtest
10 trend-following strategies were compared on the full daily history of CaixaBank SA. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.1%, MDD -35.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.7%, drawdown -71.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -36.8%, Sharpe 0.64, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 34.8%p (CAGR 10.1%, MDD -35.7%, exposure 58%).
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=41, slow=354 |
12.3% | -36.8% | 0.64 | 0.33 | 8.9x | 9 | 56% |
| EMA 크로스오버 fast=45, slow=258 |
10.1% | -35.7% | 0.55 | 0.28 | 6.1x | 17 | 58% |
| Donchian 채널 돌파 entryN=52, exitN=122 |
11.0% | -52.2% | 0.53 | 0.21 | 7.1x | 19 | 69% |
| ROC 모멘텀 n=110, threshold=-0.02 |
5.3% | -65.6% | 0.34 | 0.08 | 2.6x | 151 | 61% |
| Supertrend period=23, mult=4.5 |
4.1% | -49.8% | 0.29 | 0.08 | 2.1x | 65 | 54% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=19, mult=3 |
3.5% | -41.0% | 0.29 | 0.08 | 1.9x | 57 | 28% |
| Parabolic SAR step=0.005, maxStep=0.3 |
2.6% | -54.5% | 0.22 | 0.05 | 1.6x | 162 | 53% |
| 볼린저 밴드 돌파 n=51, k=1.3 |
1.8% | -36.5% | 0.19 | 0.05 | 1.4x | 121 | 42% |
| MACD fast=17, slow=23, signal=21 |
0.1% | -62.8% | 0.12 | 0.00 | 1.0x | 250 | 50% |
| ADX / DI 방향성 period=37, threshold=11 |
-1.0% | -46.0% | 0.03 | -0.02 | 0.8x | 156 | 36% |
| Buy and hold | 4.7% | -71.6% | 0.30 | 0.07 | 2.4x | 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 41-day average price crosses above the 354-day average
- Sell — Sell (to cash) when the 41-day average falls below the 354-day average