Trend-Following Backtester · Guide · backtest 한국어

equity · ES

Industria de Diseno Textil, S.A. backtest

10 trend-following strategies were compared on the full daily history of Industria de Diseno Textil, S.A.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.

Data 2001-05-24 ~ 2026-07-31daily bars 6,461 (25.2 years)Costs 0.5%Venue BMEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 11.5%, drawdown -55.5%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.7%, MDD -55.5%, Sharpe 0.53, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 100%
n=1, threshold=-0.11
11.7%-55.5%0.530.2116.1x5100%
EMA 크로스오버
fast=19, slow=145
6.2%-42.3%0.400.154.6x5967%
Donchian 채널 돌파
entryN=79, exitN=62
5.6%-48.9%0.380.124.0x4459%
SMA 크로스오버
fast=10, slow=192
5.1%-47.0%0.340.113.5x6366%
Parabolic SAR
step=0.01, maxStep=0.02
3.8%-48.2%0.280.082.6x14962%
Keltner 채널 돌파
emaPeriod=11, atrPeriod=27, mult=3.5
0.5%-5.5%0.220.091.1x81%
볼린저 밴드 돌파
n=49, k=3.2
1.5%-24.0%0.220.061.5x3014%
Supertrend
period=31, mult=4.4
2.1%-56.5%0.200.041.7x9566%
ADX / DI 방향성
period=39, threshold=25
0.7%-11.5%0.180.061.2x103%
MACD
fast=24, slow=54, signal=17
-2.9%-73.6%-0.06-0.040.5x27150%
Buy and hold11.5%-55.5%0.520.2115.6x1100%
1x 10x 2002 2006 2010 2014 2018 2022 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -14% -28% -42% -56% 2002 2006 2010 2014 2018 2022 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -55.5% (2007-11-07 → 2008-11-21), recovered after 992 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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