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 10.3%, MDD -35.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.0%, drawdown -71.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.5%, MDD -36.8%, Sharpe 0.65, 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 10.3%, 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 |
12.5% | -36.8% | 0.65 | 0.34 | 9.3x | 9 | 56% |
| EMA 크로스오버 fast=45, slow=258 |
10.3% | -35.7% | 0.56 | 0.29 | 6.4x | 17 | 58% |
| Donchian 채널 돌파 entryN=52, exitN=122 |
11.2% | -52.2% | 0.54 | 0.21 | 7.4x | 19 | 69% |
| ROC 모멘텀 n=110, threshold=-0.02 |
5.5% | -65.6% | 0.35 | 0.08 | 2.8x | 151 | 61% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=19, mult=3 |
3.7% | -41.0% | 0.31 | 0.09 | 2.0x | 57 | 29% |
| Supertrend period=23, mult=4.5 |
4.4% | -49.8% | 0.30 | 0.09 | 2.2x | 65 | 54% |
| Parabolic SAR step=0.005, maxStep=0.3 |
2.5% | -54.5% | 0.22 | 0.05 | 1.6x | 163 | 52% |
| 볼린저 밴드 돌파 n=51, k=1.3 |
2.0% | -36.5% | 0.20 | 0.06 | 1.5x | 121 | 42% |
| MACD fast=17, slow=23, signal=21 |
-0.0% | -62.8% | 0.11 | -0.00 | 1.0x | 252 | 50% |
| ADX / DI 방향성 period=37, threshold=11 |
-1.1% | -46.0% | 0.03 | -0.02 | 0.8x | 160 | 36% |
| Buy and hold | 5.0% | -71.6% | 0.31 | 0.07 | 2.5x | 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