Trend-Following Backtester · Guide · backtest 한국어

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Metrovacesa SA backtest

10 trend-following strategies were compared on the full daily history of Metrovacesa SA. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.9%, MDD -20.0%).

Data 2018-02-06 ~ 2026-07-31daily bars 2,169 (8.5 years)Costs 0.5%Venue BMEMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR -4.3%, drawdown -70.7%).

Sharpe leader (same as main): MACD — CAGR 4.7%, MDD -26.4%, Sharpe 0.31, 49% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 1.9%, MDD -20.0%, exposure 11%).

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
MACD
fast=22, slow=34, signal=17
4.7%-26.4%0.310.181.5x7849%
Parabolic SAR
step=0.015, maxStep=0.06
3.6%-37.4%0.270.101.4x11050%
볼린저 밴드 돌파
n=15, k=2.5
2.4%-25.2%0.240.101.2x4416%
SMA 크로스오버
fast=41, slow=216
2.6%-29.5%0.230.091.2x1153%
Keltner 채널 돌파
emaPeriod=11, atrPeriod=28, mult=1.7
1.9%-20.0%0.210.101.2x3411%
EMA 크로스오버
fast=57, slow=192
1.7%-31.6%0.180.051.1x752%
Supertrend
period=29, mult=1.9
0.4%-58.0%0.120.011.0x7950%
ADX / DI 방향성
period=9, threshold=37
0.1%-22.4%0.080.011.0x6420%
ROC 모멘텀
n=25, threshold=0.01
-3.6%-39.4%-0.09-0.090.7x15442%
Donchian 채널 돌파
entryN=20, exitN=65
-6.9%-55.0%-0.16-0.130.5x2773%
Buy and hold-4.3%-70.7%0.01-0.060.7x1100%
1x 2019 2020 2021 2022 2023 2024 2025 2026 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -35% -53% -71% 2019 2020 2021 2022 2023 2024 2025 2026 Buy and holdMACD
MACD maximum drawdown -26.4% (2021-09-17 → 2022-03-18), recovered after 440 days.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

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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