Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Telefonica SA backtest
10 trend-following strategies were compared on the full daily history of Telefonica SA. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -4.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR -7.0%, drawdown -91.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.3%, MDD -31.8%, Sharpe 0.23, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 59.5%p (CAGR 0.1%, MDD -4.4%, exposure 0%).
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=59, k=2.8 |
1.3% | -31.8% | 0.23 | 0.04 | 1.4x | 24 | 11% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=16, mult=3.6 |
0.2% | -5.9% | 0.11 | 0.03 | 1.0x | 6 | 1% |
| ADX / DI 방향성 period=30, threshold=34 |
0.1% | -4.4% | 0.08 | 0.02 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=53, slow=177 |
-1.0% | -61.4% | -0.00 | -0.02 | 0.8x | 45 | 44% |
| ROC 모멘텀 n=190, threshold=-0.02 |
-2.6% | -73.3% | -0.11 | -0.04 | 0.5x | 156 | 47% |
| Donchian 채널 돌파 entryN=96, exitN=54 |
-2.4% | -68.7% | -0.14 | -0.04 | 0.5x | 46 | 35% |
| EMA 크로스오버 fast=45, slow=152 |
-2.7% | -74.4% | -0.14 | -0.04 | 0.5x | 46 | 42% |
| Supertrend period=14, mult=4.3 |
-8.0% | -91.5% | -0.40 | -0.09 | 0.1x | 122 | 47% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-9.2% | -94.3% | -0.41 | -0.10 | 0.1x | 249 | 50% |
| MACD fast=14, slow=35, signal=6 |
-10.4% | -96.5% | -0.45 | -0.11 | 0.1x | 515 | 51% |
| Buy and hold | -7.0% | -91.3% | -0.10 | -0.08 | 0.1x | 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 59-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 59-day middle average