Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Solaria Energia y Medio Ambiente, S.A. backtest
10 trend-following strategies were compared on the full daily history of Solaria Energia y Medio Ambiente, S.A.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.9%, MDD -56.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.8%, drawdown -98.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.6%, MDD -67.7%, Sharpe 0.64, 58% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.8%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 9.9%, MDD -56.8%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=16, exitN=23 |
20.6% | -67.7% | 0.64 | 0.30 | 36.7x | 87 | 58% |
| Supertrend period=20, mult=3.4 |
19.2% | -65.2% | 0.63 | 0.29 | 29.1x | 82 | 45% |
| SMA 크로스오버 fast=27, slow=120 |
17.6% | -63.9% | 0.59 | 0.27 | 22.3x | 40 | 50% |
| EMA 크로스오버 fast=50, slow=78 |
16.5% | -71.0% | 0.58 | 0.23 | 18.7x | 32 | 48% |
| ROC 모멘텀 n=92, threshold=0 |
13.6% | -66.3% | 0.51 | 0.21 | 11.6x | 166 | 50% |
| Parabolic SAR step=0.005, maxStep=0.16 |
13.0% | -74.6% | 0.49 | 0.17 | 10.5x | 141 | 47% |
| 볼린저 밴드 돌파 n=43, k=1.2 |
12.3% | -64.6% | 0.48 | 0.19 | 9.3x | 126 | 39% |
| ADX / DI 방향성 period=11, threshold=32 |
9.9% | -56.8% | 0.46 | 0.17 | 6.2x | 122 | 19% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=24, mult=2.2 |
9.7% | -60.2% | 0.44 | 0.16 | 5.9x | 84 | 28% |
| MACD fast=19, slow=35, signal=13 |
8.9% | -82.2% | 0.41 | 0.11 | 5.1x | 223 | 51% |
| Buy and hold | 1.8% | -98.7% | 0.32 | 0.02 | 1.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 16 days
- Sell — Sell when price breaks below the lowest low of the last 23 days