Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Indra Sistemas, S.A. Class A backtest
10 trend-following strategies were compared on the full daily history of Indra Sistemas, S.A. Class A. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.9%, MDD -47.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.4%, drawdown -75.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -64.5%, Sharpe 0.40, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 10.8%p (CAGR 5.9%, MDD -47.9%, exposure 49%).
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=33, slow=221 |
6.8% | -64.5% | 0.40 | 0.11 | 5.6x | 37 | 55% |
| Donchian 채널 돌파 entryN=54, exitN=44 |
5.9% | -47.9% | 0.38 | 0.12 | 4.4x | 61 | 49% |
| EMA 크로스오버 fast=39, slow=162 |
6.1% | -67.6% | 0.37 | 0.09 | 4.6x | 45 | 56% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=2.6 |
4.8% | -48.0% | 0.36 | 0.10 | 3.4x | 89 | 34% |
| 볼린저 밴드 돌파 n=40, k=3.2 |
3.1% | -36.1% | 0.32 | 0.08 | 2.2x | 42 | 14% |
| Supertrend period=15, mult=4.6 |
2.0% | -67.8% | 0.20 | 0.03 | 1.7x | 93 | 51% |
| ADX / DI 방향성 period=27, threshold=22 |
1.2% | -47.4% | 0.16 | 0.02 | 1.4x | 65 | 14% |
| ROC 모멘텀 n=123, threshold=0.08 |
0.6% | -80.1% | 0.12 | 0.01 | 1.2x | 220 | 40% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-1.8% | -88.2% | 0.03 | -0.02 | 0.6x | 350 | 51% |
| MACD fast=19, slow=35, signal=11 |
-4.3% | -92.0% | -0.09 | -0.05 | 0.3x | 378 | 49% |
| Buy and hold | 6.4% | -75.3% | 0.35 | 0.08 | 4.9x | 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 33-day average price crosses above the 221-day average
- Sell — Sell (to cash) when the 33-day average falls below the 221-day average