Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Central Puerto SA backtest
10 trend-following strategies were compared on the full daily history of Central Puerto SA. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 56.3%, MDD -68.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 53.9%, drawdown -87.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.0%, MDD -67.1%, Sharpe 0.83, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 57.1%, MDD -72.8%, exposure 89%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 26.0%p lower than buy and hold, while drawdown improves by 20.6%p (CAGR 56.3%, MDD -68.3%, exposure 85%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=79, slow=90 |
28.0% | -67.1% | 0.83 | 0.42 | 702.6x | 112 | 65% |
| 볼린저 밴드 돌파 n=56, k=3.1 |
18.9% | -47.1% | 0.79 | 0.40 | 100.0x | 50 | 27% |
| ADX / DI 방향성 period=32, threshold=11 |
22.3% | -60.2% | 0.72 | 0.37 | 208.9x | 282 | 48% |
| ROC 모멘텀 n=33, threshold=-0.15 |
57.1% | -72.8% | 0.52 | 0.78 | 163994.3x | 157 | 89% |
| Donchian 채널 돌파 entryN=16, exitN=69 |
56.3% | -68.3% | 0.52 | 0.82 | 142164.1x | 61 | 85% |
| Supertrend period=19, mult=3.5 |
47.5% | -71.8% | 0.46 | 0.66 | 30726.9x | 171 | 59% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=27, mult=3.9 |
8.5% | -54.2% | 0.46 | 0.16 | 8.7x | 76 | 13% |
| EMA 크로스오버 fast=43, slow=196 |
45.0% | -78.7% | 0.45 | 0.57 | 19478.9x | 25 | 75% |
| Parabolic SAR step=0.005, maxStep=0.2 |
38.9% | -79.0% | 0.42 | 0.49 | 6196.6x | 187 | 54% |
| MACD fast=16, slow=43, signal=18 |
38.8% | -53.3% | 0.41 | 0.73 | 6037.5x | 283 | 50% |
| Buy and hold | 53.9% | -87.8% | 0.52 | 0.61 | 95338.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 79-day average price crosses above the 90-day average
- Sell — Sell (to cash) when the 79-day average falls below the 90-day average