Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Banco Patagonia SA Class B backtest
10 trend-following strategies were compared on the full daily history of Banco Patagonia SA Class B. 2 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 34.8%, MDD -40.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 37.8%, drawdown -78.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 34.8%, MDD -40.2%, Sharpe 1.16, 31% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 38.4%, MDD -52.9%, exposure 69%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 38.2%p (CAGR 34.8%, MDD -40.2%, exposure 31%).
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=18, k=1.9 |
34.8% | -40.2% | 1.16 | 0.87 | 294.6x | 162 | 31% |
| ADX / DI 방향성 period=9, threshold=32 |
26.6% | -43.0% | 1.04 | 0.62 | 89.3x | 178 | 24% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=26, mult=3.1 |
20.7% | -26.5% | 1.02 | 0.78 | 35.6x | 56 | 12% |
| EMA 크로스오버 fast=11, slow=118 |
37.7% | -60.8% | 1.02 | 0.62 | 437.5x | 48 | 64% |
| ROC 모멘텀 n=140, threshold=-0.01 |
38.4% | -52.9% | 1.01 | 0.73 | 482.8x | 132 | 69% |
| SMA 크로스오버 fast=12, slow=180 |
37.4% | -60.8% | 1.01 | 0.62 | 421.9x | 40 | 66% |
| Donchian 채널 돌파 entryN=85, exitN=85 |
38.3% | -59.9% | 1.00 | 0.64 | 475.4x | 18 | 70% |
| MACD fast=19, slow=42, signal=15 |
28.8% | -71.7% | 0.92 | 0.40 | 123.8x | 202 | 48% |
| Parabolic SAR step=0.005, maxStep=0.24 |
27.3% | -58.4% | 0.88 | 0.47 | 98.0x | 130 | 52% |
| Supertrend period=26, mult=4.5 |
25.8% | -56.8% | 0.83 | 0.45 | 78.5x | 83 | 57% |
| Buy and hold | 37.8% | -78.4% | 0.92 | 0.48 | 443.9x | 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 18-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 18-day middle average