Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Vidrala SA backtest
10 trend-following strategies were compared on the full daily history of Vidrala SA. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.3%, MDD -33.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.0%, drawdown -50.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.4%, MDD -15.6%, Sharpe 0.59, 25% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.6%, MDD -38.1%, exposure 82%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.6%p lower than buy and hold, while drawdown improves by 35.1%p (CAGR 8.3%, MDD -33.7%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=4 |
6.4% | -15.6% | 0.59 | 0.41 | 5.2x | 43 | 25% |
| SMA 크로스오버 fast=57, slow=204 |
8.3% | -38.1% | 0.52 | 0.22 | 8.3x | 36 | 62% |
| Supertrend period=19, mult=4.5 |
8.3% | -49.7% | 0.52 | 0.17 | 8.3x | 63 | 61% |
| EMA 크로스오버 fast=59, slow=163 |
8.3% | -33.7% | 0.51 | 0.25 | 8.3x | 33 | 67% |
| ROC 모멘텀 n=177, threshold=-0.1 |
8.6% | -38.1% | 0.49 | 0.23 | 9.0x | 87 | 82% |
| Donchian 채널 돌파 entryN=81, exitN=97 |
7.5% | -33.2% | 0.47 | 0.23 | 6.8x | 35 | 67% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
2.5% | -25.8% | 0.34 | 0.10 | 1.9x | 32 | 12% |
| ADX / DI 방향성 period=30, threshold=20 |
2.4% | -27.4% | 0.29 | 0.09 | 1.9x | 95 | 16% |
| MACD fast=27, slow=39, signal=20 |
3.3% | -54.9% | 0.27 | 0.06 | 2.4x | 247 | 49% |
| Parabolic SAR step=0.005, maxStep=0.12 |
1.3% | -61.8% | 0.16 | 0.02 | 1.4x | 215 | 53% |
| Buy and hold | 11.0% | -50.7% | 0.53 | 0.22 | 16.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 59-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 59-day average