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Trend-Following Backtester · Guide · backtest 한국어

equity · AR

Banco Macro SA Class B backtest

10 trend-following strategies were compared on the full daily history of Banco Macro SA Class B. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 38.7%, MDD -53.8%).

Data 2000-01-03 ~ 2026-08-31daily bars 6,639 (26.7 years)Costs 0.5%Venue BCBAMonthly snapshot 2026-08-31

Results by strategy

1 of 10 beat buy and hold (CAGR 38.4%, drawdown -88.7%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 38.7%, MDD -53.8%, Sharpe 0.96, 67% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 38.7%, MDD -53.8%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=159, threshold=0.03
38.7%-53.8%0.960.726185.6x11067%
Donchian 채널 돌파
entryN=113, exitN=94
37.2%-72.7%0.920.514548.5x2367%
EMA 크로스오버
fast=48, slow=212
36.1%-81.0%0.910.453685.7x1971%
SMA 크로스오버
fast=42, slow=154
36.2%-75.1%0.900.483747.1x3564%
Keltner 채널 돌파
emaPeriod=73, atrPeriod=10, mult=1.4
24.4%-70.6%0.750.35335.3x14853%
볼린저 밴드 돌파
n=55, k=1.9
22.3%-63.1%0.740.35212.9x10642%
Supertrend
period=19, mult=1.7
24.3%-62.4%0.740.39329.7x42255%
Parabolic SAR
step=0.02, maxStep=0.12
21.8%-65.6%0.690.33190.7x51354%
MACD
fast=7, slow=38, signal=6
21.1%-79.6%0.680.27164.7x63952%
ADX / DI 방향성
period=19, threshold=8
19.9%-79.2%0.660.25127.3x39651%
Buy and hold38.4%-88.7%0.860.435753.6x1100%
1x 10x 100x 1,000x 2001 2005 2009 2013 2017 2021 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -67% -89% 2001 2005 2009 2013 2017 2021 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -53.8% (2019-08-09 → 2019-12-11), recovered after 360 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore AR assetsAll asset reports

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