Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Viscofan, S.A. backtest
10 trend-following strategies were compared on the full daily history of Viscofan, S.A.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -52.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -42.5%, Sharpe 0.45, 64% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=59, slow=264 |
7.0% | -42.5% | 0.45 | 0.16 | 6.0x | 27 | 64% |
| EMA 크로스오버 fast=46, slow=185 |
6.1% | -47.7% | 0.40 | 0.13 | 4.8x | 28 | 67% |
| Donchian 채널 돌파 entryN=110, exitN=75 |
5.4% | -42.4% | 0.38 | 0.13 | 4.0x | 30 | 56% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
2.4% | -12.3% | 0.38 | 0.19 | 1.9x | 26 | 8% |
| Supertrend period=9, mult=4.7 |
3.5% | -54.6% | 0.27 | 0.06 | 2.5x | 66 | 60% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=16, mult=4 |
1.3% | -20.2% | 0.24 | 0.06 | 1.4x | 14 | 4% |
| ROC 모멘텀 n=146, threshold=0.03 |
0.9% | -63.9% | 0.14 | 0.01 | 1.3x | 213 | 51% |
| ADX / DI 방향성 period=38, threshold=17 |
0.2% | -34.1% | 0.07 | 0.01 | 1.1x | 68 | 17% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.9% | -68.9% | 0.04 | -0.01 | 0.8x | 216 | 55% |
| MACD fast=23, slow=31, signal=18 |
-2.8% | -69.4% | -0.08 | -0.04 | 0.5x | 321 | 50% |
| Buy and hold | 7.6% | -52.8% | 0.41 | 0.14 | 7.0x | 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 59-day average price crosses above the 264-day average
- Sell — Sell (to cash) when the 59-day average falls below the 264-day average