Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Banco BBVA Argentina SA backtest
10 trend-following strategies were compared on the full daily history of Banco BBVA Argentina SA. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 31.0%, drawdown -84.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 27.2%, MDD -77.0%, Sharpe 0.79, 61% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=21, slow=69 |
27.2% | -77.0% | 0.79 | 0.35 | 603.9x | 87 | 61% |
| SMA 크로스오버 fast=11, slow=182 |
26.4% | -81.9% | 0.78 | 0.32 | 503.6x | 69 | 63% |
| Donchian 채널 돌파 entryN=92, exitN=49 |
23.5% | -79.6% | 0.76 | 0.30 | 273.5x | 43 | 50% |
| ROC 모멘텀 n=103, threshold=0.05 |
22.7% | -87.5% | 0.72 | 0.26 | 230.6x | 243 | 56% |
| 볼린저 밴드 돌파 n=19, k=2.9 |
10.8% | -30.4% | 0.64 | 0.36 | 15.3x | 64 | 11% |
| Supertrend period=16, mult=4.9 |
15.2% | -76.6% | 0.56 | 0.20 | 43.1x | 105 | 54% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=14, mult=3 |
10.9% | -53.7% | 0.53 | 0.20 | 15.6x | 114 | 24% |
| MACD fast=15, slow=51, signal=15 |
12.8% | -86.0% | 0.51 | 0.15 | 24.6x | 322 | 51% |
| ADX / DI 방향성 period=37, threshold=9 |
10.1% | -84.3% | 0.45 | 0.12 | 12.9x | 257 | 50% |
| Parabolic SAR step=0.04, maxStep=0.1 |
10.2% | -80.1% | 0.45 | 0.13 | 13.1x | 616 | 54% |
| Buy and hold | 31.0% | -84.6% | 0.77 | 0.37 | 1301.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 21-day EMA crosses above the 69-day EMA
- Sell — Sell when the 21-day EMA falls below the 69-day EMA