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 39.2%, MDD -53.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 39.2%, drawdown -88.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 39.2%, MDD -53.8%, Sharpe 0.97, 67% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 39.2%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=159, threshold=0.03 |
39.2% | -53.8% | 0.97 | 0.73 | 6604.6x | 109 | 67% |
| Donchian 채널 돌파 entryN=113, exitN=94 |
38.0% | -72.7% | 0.93 | 0.52 | 5219.4x | 23 | 66% |
| EMA 크로스오버 fast=48, slow=212 |
36.9% | -81.0% | 0.92 | 0.46 | 4229.4x | 19 | 71% |
| SMA 크로스오버 fast=42, slow=154 |
37.0% | -75.1% | 0.91 | 0.49 | 4299.8x | 35 | 64% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=10, mult=1.4 |
24.9% | -70.6% | 0.76 | 0.35 | 367.4x | 147 | 53% |
| 볼린저 밴드 돌파 n=55, k=1.9 |
22.7% | -63.1% | 0.75 | 0.36 | 227.3x | 105 | 42% |
| Supertrend period=19, mult=1.7 |
24.7% | -62.4% | 0.75 | 0.40 | 352.0x | 421 | 55% |
| Parabolic SAR step=0.02, maxStep=0.12 |
22.0% | -65.6% | 0.70 | 0.33 | 195.7x | 511 | 55% |
| MACD fast=7, slow=38, signal=6 |
21.1% | -79.6% | 0.68 | 0.27 | 163.2x | 638 | 52% |
| ADX / DI 방향성 period=19, threshold=8 |
20.8% | -79.2% | 0.68 | 0.26 | 151.3x | 395 | 51% |
| Buy and hold | 39.2% | -88.7% | 0.87 | 0.44 | 6602.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 159-day return is greater than 3%
- Sell — Sell when the 159-day return drops to 3% or below