Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Banco de Sabadell SA backtest
10 trend-following strategies were compared on the full daily history of Banco de Sabadell SA. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.2%, MDD -43.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.7%, drawdown -95.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.6%, MDD -60.8%, Sharpe 0.39, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 34.6%p (CAGR 1.2%, MDD -43.0%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=203 |
6.6% | -60.8% | 0.39 | 0.11 | 5.5x | 31 | 52% |
| SMA 크로스오버 fast=38, slow=201 |
5.9% | -56.7% | 0.36 | 0.10 | 4.6x | 40 | 51% |
| Donchian 채널 돌파 entryN=84, exitN=56 |
4.5% | -52.5% | 0.30 | 0.09 | 3.2x | 44 | 46% |
| Supertrend period=14, mult=4.6 |
2.0% | -58.9% | 0.20 | 0.03 | 1.7x | 105 | 50% |
| ROC 모멘텀 n=131, threshold=0.01 |
1.7% | -69.5% | 0.19 | 0.02 | 1.6x | 197 | 49% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=26, mult=2.4 |
1.2% | -43.0% | 0.15 | 0.03 | 1.4x | 126 | 19% |
| Parabolic SAR step=0.03, maxStep=0.32 |
-0.1% | -91.4% | 0.11 | -0.00 | 1.0x | 668 | 51% |
| 볼린저 밴드 돌파 n=12, k=1.6 |
-0.3% | -74.0% | 0.08 | -0.00 | 0.9x | 438 | 33% |
| MACD fast=17, slow=55, signal=7 |
-3.1% | -89.8% | -0.00 | -0.03 | 0.4x | 427 | 50% |
| ADX / DI 방향성 period=17, threshold=18 |
-1.8% | -71.4% | -0.01 | -0.03 | 0.6x | 296 | 32% |
| Buy and hold | 0.7% | -95.4% | 0.19 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 203-day EMA
- Sell — Sell when the 58-day EMA falls below the 203-day EMA