Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Fluidra, S.A. backtest
10 trend-following strategies were compared on the full daily history of Fluidra, S.A.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.8%, MDD -35.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.7%, drawdown -73.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.2%, MDD -40.7%, Sharpe 0.63, 65% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 32.2%p (CAGR 6.8%, MDD -35.8%, exposure 24%).
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=45, exitN=66 |
14.2% | -40.7% | 0.63 | 0.35 | 12.1x | 24 | 65% |
| ADX / DI 방향성 period=29, threshold=31 |
3.0% | -12.3% | 0.54 | 0.24 | 1.7x | 10 | 4% |
| SMA 크로스오버 fast=58, slow=177 |
10.5% | -43.2% | 0.52 | 0.24 | 6.5x | 32 | 58% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
6.8% | -35.8% | 0.48 | 0.19 | 3.4x | 44 | 24% |
| ROC 모멘텀 n=129, threshold=-0.03 |
8.8% | -68.7% | 0.45 | 0.13 | 4.9x | 132 | 62% |
| Supertrend period=25, mult=4.9 |
7.1% | -54.2% | 0.41 | 0.13 | 3.6x | 48 | 53% |
| EMA 크로스오버 fast=44, slow=128 |
6.0% | -55.1% | 0.36 | 0.11 | 3.0x | 34 | 57% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=3 |
4.9% | -38.2% | 0.35 | 0.13 | 2.4x | 56 | 30% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-0.7% | -77.6% | 0.09 | -0.01 | 0.9x | 235 | 54% |
| MACD fast=24, slow=68, signal=15 |
-2.1% | -70.2% | 0.04 | -0.03 | 0.7x | 195 | 53% |
| Buy and hold | 5.7% | -73.0% | 0.33 | 0.08 | 2.8x | 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 45 days
- Sell — Sell when price breaks below the lowest low of the last 66 days