Trend-Following Backtester · Guide · backtest 한국어
equity · ES
eDreams ODIGEO backtest
10 trend-following strategies were compared on the full daily history of eDreams ODIGEO. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.0%, MDD -19.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.5%, drawdown -91.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 24.3%, MDD -51.3%, Sharpe 0.88, 38% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 28.9%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 9.0%, MDD -19.3%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=33, k=1.2 |
24.3% | -51.3% | 0.88 | 0.47 | 14.9x | 89 | 38% |
| Donchian 채널 돌파 entryN=51, exitN=23 |
18.9% | -42.5% | 0.75 | 0.45 | 8.6x | 29 | 41% |
| ROC 모멘텀 n=32, threshold=-0.04 |
21.5% | -50.9% | 0.71 | 0.42 | 11.2x | 187 | 60% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=20, mult=3.2 |
9.0% | -19.3% | 0.69 | 0.47 | 2.9x | 26 | 12% |
| Supertrend period=12, mult=4.7 |
16.2% | -54.6% | 0.62 | 0.30 | 6.4x | 33 | 52% |
| MACD fast=19, slow=68, signal=18 |
18.8% | -76.7% | 0.62 | 0.25 | 8.5x | 108 | 53% |
| SMA 크로스오버 fast=21, slow=82 |
12.6% | -63.3% | 0.53 | 0.20 | 4.4x | 39 | 51% |
| Parabolic SAR step=0.035, maxStep=0.22 |
11.4% | -77.5% | 0.49 | 0.15 | 3.8x | 340 | 50% |
| ADX / DI 방향성 period=14, threshold=11 |
11.4% | -62.4% | 0.48 | 0.18 | 3.8x | 251 | 47% |
| EMA 크로스오버 fast=34, slow=46 |
8.5% | -67.4% | 0.41 | 0.13 | 2.8x | 41 | 52% |
| Buy and hold | -4.5% | -91.0% | 0.23 | -0.05 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 33-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 33-day middle average