Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Elecnor S.A. backtest
10 trend-following strategies were compared on the full daily history of Elecnor S.A.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.7%, MDD -39.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.6%, drawdown -74.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.7%, MDD -44.2%, Sharpe 0.71, 69% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 13.7%, MDD -39.3%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=54, exitN=68 |
14.7% | -44.2% | 0.71 | 0.33 | 27.5x | 34 | 69% |
| SMA 크로스오버 fast=28, slow=178 |
13.7% | -39.3% | 0.69 | 0.35 | 22.2x | 37 | 60% |
| EMA 크로스오버 fast=53, slow=144 |
12.5% | -42.6% | 0.64 | 0.29 | 17.3x | 33 | 59% |
| ROC 모멘텀 n=199, threshold=0.06 |
8.6% | -52.0% | 0.50 | 0.16 | 7.3x | 91 | 51% |
| Supertrend period=9, mult=5 |
8.2% | -43.8% | 0.47 | 0.19 | 6.7x | 76 | 56% |
| Parabolic SAR step=0.005, maxStep=0.24 |
7.3% | -44.2% | 0.44 | 0.17 | 5.5x | 166 | 53% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=8, mult=4 |
3.0% | -25.8% | 0.39 | 0.12 | 2.0x | 26 | 5% |
| ADX / DI 방향성 period=51, threshold=15 |
4.1% | -34.8% | 0.38 | 0.12 | 2.7x | 72 | 20% |
| MACD fast=22, slow=62, signal=19 |
5.6% | -57.8% | 0.36 | 0.10 | 3.7x | 208 | 50% |
| 볼린저 밴드 돌파 n=59, k=1.6 |
4.6% | -51.5% | 0.33 | 0.09 | 3.0x | 124 | 41% |
| Buy and hold | 11.6% | -74.3% | 0.52 | 0.16 | 14.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 54 days
- Sell — Sell when price breaks below the lowest low of the last 68 days