Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Nueva Expresion Textil, S.A. backtest
10 trend-following strategies were compared on the full daily history of Nueva Expresion Textil, S.A.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.9%, MDD -29.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.4%, drawdown -99.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.9%, MDD -29.7%, Sharpe 0.58, 7% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.3%p higher than buy and hold, while drawdown improves by 69.6%p (CAGR 7.9%, MDD -29.7%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=30 |
7.9% | -29.7% | 0.58 | 0.27 | 7.6x | 22 | 7% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=13, mult=3.7 |
6.1% | -53.2% | 0.41 | 0.11 | 4.8x | 37 | 16% |
| ROC 모멘텀 n=140, threshold=0.14 |
5.1% | -58.8% | 0.34 | 0.09 | 3.7x | 105 | 22% |
| Parabolic SAR step=0.015, maxStep=0.1 |
6.0% | -71.5% | 0.34 | 0.08 | 4.7x | 297 | 36% |
| 볼린저 밴드 돌파 n=35, k=1.7 |
4.6% | -68.2% | 0.30 | 0.07 | 3.3x | 121 | 24% |
| EMA 크로스오버 fast=52, slow=69 |
1.9% | -84.8% | 0.25 | 0.02 | 1.6x | 35 | 30% |
| SMA 크로스오버 fast=35, slow=114 |
1.0% | -92.4% | 0.22 | 0.01 | 1.3x | 57 | 33% |
| MACD fast=22, slow=26, signal=30 |
0.6% | -83.9% | 0.17 | 0.01 | 1.2x | 220 | 42% |
| Donchian 채널 돌파 entryN=13, exitN=64 |
-4.6% | -94.3% | 0.12 | -0.05 | 0.3x | 65 | 79% |
| Supertrend period=9, mult=1.7 |
-1.0% | -90.5% | 0.10 | -0.01 | 0.8x | 266 | 38% |
| Buy and hold | -12.4% | -99.3% | -0.04 | -0.13 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 30-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)