Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Melia Hotels International, S.A. backtest
10 trend-following strategies were compared on the full daily history of Melia Hotels International, S.A.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.5%, MDD -34.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.3%, drawdown -91.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.5%, MDD -34.7%, Sharpe 0.50, 22% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.9%, MDD -59.8%, exposure 69%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 56.5%p (CAGR 6.5%, MDD -34.7%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=58, k=2.8 |
6.5% | -34.7% | 0.50 | 0.19 | 5.4x | 48 | 22% |
| Supertrend period=20, mult=3.7 |
7.8% | -58.1% | 0.42 | 0.13 | 7.3x | 106 | 49% |
| SMA 크로스오버 fast=14, slow=207 |
6.8% | -64.1% | 0.41 | 0.11 | 5.8x | 57 | 52% |
| Donchian 채널 돌파 entryN=45, exitN=101 |
7.9% | -59.8% | 0.41 | 0.13 | 7.6x | 41 | 69% |
| EMA 크로스오버 fast=17, slow=85 |
6.4% | -50.1% | 0.38 | 0.13 | 5.2x | 88 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=12, mult=2.5 |
5.2% | -48.4% | 0.36 | 0.11 | 3.9x | 96 | 34% |
| ROC 모멘텀 n=162, threshold=-0.04 |
4.9% | -59.2% | 0.31 | 0.08 | 3.6x | 175 | 59% |
| ADX / DI 방향성 period=38, threshold=13 |
2.2% | -47.7% | 0.21 | 0.05 | 1.8x | 150 | 25% |
| MACD fast=21, slow=38, signal=21 |
0.9% | -71.6% | 0.16 | 0.01 | 1.3x | 270 | 49% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.5% | -75.2% | 0.10 | -0.01 | 0.9x | 224 | 52% |
| Buy and hold | -0.3% | -91.2% | 0.18 | -0.00 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 58-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 58-day middle average