Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Tecnicas Reunidas SA backtest
10 trend-following strategies were compared on the full daily history of Tecnicas Reunidas SA. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.4%, MDD -21.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.9%, drawdown -90.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.6%, MDD -44.4%, Sharpe 0.48, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR 2.4%, MDD -21.3%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=28, slow=115 |
9.6% | -44.4% | 0.48 | 0.22 | 6.3x | 52 | 53% |
| Donchian 채널 돌파 entryN=44, exitN=62 |
9.1% | -68.9% | 0.45 | 0.13 | 5.7x | 36 | 62% |
| EMA 크로스오버 fast=34, slow=86 |
7.7% | -59.5% | 0.42 | 0.13 | 4.4x | 44 | 52% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=28, mult=2 |
6.4% | -64.6% | 0.40 | 0.10 | 3.5x | 96 | 34% |
| ROC 모멘텀 n=91, threshold=0.12 |
6.3% | -66.9% | 0.40 | 0.09 | 3.4x | 166 | 33% |
| Supertrend period=8, mult=3.6 |
6.8% | -64.4% | 0.38 | 0.11 | 3.8x | 92 | 51% |
| 볼린저 밴드 돌파 n=53, k=2 |
5.2% | -60.5% | 0.35 | 0.09 | 2.8x | 80 | 34% |
| ADX / DI 방향성 period=27, threshold=29 |
2.4% | -21.3% | 0.33 | 0.11 | 1.6x | 16 | 5% |
| MACD fast=24, slow=43, signal=48 |
5.2% | -59.7% | 0.32 | 0.09 | 2.8x | 140 | 50% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-0.9% | -85.8% | 0.09 | -0.01 | 0.8x | 182 | 52% |
| Buy and hold | 2.9% | -90.5% | 0.27 | 0.03 | 1.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 28-day average price crosses above the 115-day average
- Sell — Sell (to cash) when the 28-day average falls below the 115-day average