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.. 3 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 11.1%, MDD -30.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.1%, drawdown -74.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.1%, MDD -30.6%, Sharpe 0.60, 45% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.0%, 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 11.1%, MDD -30.6%, exposure 45%).
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 |
11.1% | -30.6% | 0.60 | 0.36 | 2.6x | 65 | 45% |
| Parabolic SAR step=0.025, maxStep=0.26 |
12.4% | -49.8% | 0.59 | 0.25 | 2.9x | 220 | 55% |
| Donchian 채널 돌파 entryN=44, exitN=67 |
13.0% | -53.3% | 0.58 | 0.24 | 3.0x | 17 | 65% |
| SMA 크로스오버 fast=35, slow=78 |
12.4% | -41.3% | 0.58 | 0.30 | 2.9x | 31 | 55% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=15, mult=2.5 |
10.3% | -27.3% | 0.57 | 0.38 | 2.4x | 31 | 40% |
| Supertrend period=19, mult=4.7 |
11.5% | -51.1% | 0.55 | 0.23 | 2.7x | 27 | 60% |
| ROC 모멘텀 n=99, threshold=-0.07 |
11.6% | -36.7% | 0.53 | 0.31 | 2.7x | 65 | 71% |
| ADX / DI 방향성 period=55, threshold=5 |
7.0% | -50.4% | 0.40 | 0.14 | 1.9x | 87 | 54% |
| EMA 크로스오버 fast=58, slow=92 |
6.6% | -52.4% | 0.37 | 0.13 | 1.8x | 19 | 63% |
| MACD fast=14, slow=27, signal=13 |
3.0% | -59.3% | 0.24 | 0.05 | 1.3x | 142 | 52% |
| Buy and hold | 12.1% | -74.2% | 0.50 | 0.16 | 2.8x | 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