Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Mapfre SA backtest
10 trend-following strategies were compared on the full daily history of Mapfre SA. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.2%, MDD -36.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.3%, drawdown -68.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -36.3%, Sharpe 0.51, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 32.3%p (CAGR 8.2%, MDD -36.3%, exposure 57%).
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=57, slow=126 |
8.2% | -36.3% | 0.51 | 0.22 | 7.0x | 43 | 57% |
| Donchian 채널 돌파 entryN=91, exitN=53 |
4.6% | -40.3% | 0.35 | 0.11 | 3.1x | 43 | 45% |
| EMA 크로스오버 fast=48, slow=52 |
5.0% | -48.3% | 0.34 | 0.10 | 3.3x | 67 | 59% |
| 볼린저 밴드 돌파 n=22, k=3.4 |
1.2% | -11.8% | 0.23 | 0.10 | 1.3x | 14 | 3% |
| Parabolic SAR step=0.005, maxStep=0.38 |
2.0% | -75.1% | 0.19 | 0.03 | 1.6x | 214 | 52% |
| Supertrend period=24, mult=4.3 |
0.7% | -60.3% | 0.13 | 0.01 | 1.2x | 129 | 52% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=1.9 |
0.6% | -60.6% | 0.12 | 0.01 | 1.2x | 145 | 41% |
| MACD fast=22, slow=54, signal=24 |
0.1% | -69.7% | 0.11 | 0.00 | 1.0x | 229 | 48% |
| ROC 모멘텀 n=110, threshold=0.07 |
0.4% | -56.1% | 0.10 | 0.01 | 1.1x | 239 | 42% |
| ADX / DI 방향성 period=43, threshold=26 |
0.0% | -1.9% | 0.06 | 0.02 | 1.0x | 2 | 0% |
| Buy and hold | 5.3% | -68.6% | 0.32 | 0.08 | 3.6x | 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 57-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 57-day average falls below the 126-day average