Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Unicaja Banco S.A. backtest
10 trend-following strategies were compared on the full daily history of Unicaja Banco S.A.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.7%, MDD -30.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.7%, drawdown -74.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.7%, MDD -30.6%, Sharpe 0.62, 46% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.6%, MDD -53.3%, exposure 65%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 43.6%p (CAGR 11.7%, MDD -30.6%, exposure 46%).
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=36, k=1.2 |
11.7% | -30.6% | 0.62 | 0.38 | 2.8x | 65 | 46% |
| Donchian 채널 돌파 entryN=44, exitN=67 |
13.6% | -53.3% | 0.60 | 0.26 | 3.2x | 17 | 65% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=15, mult=2.5 |
11.0% | -27.3% | 0.60 | 0.40 | 2.6x | 31 | 41% |
| SMA 크로스오버 fast=35, slow=78 |
13.0% | -41.3% | 0.60 | 0.31 | 3.1x | 31 | 56% |
| Parabolic SAR step=0.025, maxStep=0.26 |
12.7% | -49.8% | 0.60 | 0.25 | 3.0x | 223 | 55% |
| Supertrend period=19, mult=4.7 |
12.1% | -51.1% | 0.57 | 0.24 | 2.9x | 27 | 61% |
| ROC 모멘텀 n=99, threshold=-0.07 |
12.2% | -36.7% | 0.55 | 0.33 | 2.9x | 65 | 72% |
| ADX / DI 방향성 period=55, threshold=5 |
7.7% | -50.4% | 0.42 | 0.15 | 2.0x | 87 | 54% |
| EMA 크로스오버 fast=58, slow=92 |
7.2% | -52.4% | 0.39 | 0.14 | 1.9x | 19 | 64% |
| MACD fast=14, slow=27, signal=13 |
3.2% | -59.3% | 0.25 | 0.05 | 1.3x | 144 | 52% |
| Buy and hold | 12.7% | -74.2% | 0.52 | 0.17 | 3.0x | 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 36-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 36-day middle average