Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Grupo Financiero Galicia SA Class B backtest
10 trend-following strategies were compared on the full daily history of Grupo Financiero Galicia SA Class B. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 42.7%, MDD -58.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 37.5%, drawdown -94.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 42.7%, MDD -58.4%, Sharpe 1.12, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 42.7%, MDD -58.4%, exposure 63%).
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=18, slow=87 |
42.7% | -58.4% | 1.12 | 0.73 | 10798.6x | 66 | 63% |
| SMA 크로스오버 fast=7, slow=125 |
39.6% | -63.0% | 1.07 | 0.63 | 6056.8x | 84 | 61% |
| Donchian 채널 돌파 entryN=30, exitN=20 |
37.3% | -61.9% | 1.06 | 0.60 | 3930.9x | 106 | 50% |
| ROC 모멘텀 n=112, threshold=-0.03 |
38.1% | -74.9% | 1.01 | 0.51 | 4572.3x | 137 | 66% |
| 볼린저 밴드 돌파 n=35, k=1.6 |
31.4% | -64.9% | 0.96 | 0.48 | 1248.3x | 154 | 41% |
| Keltner 채널 돌파 emaPeriod=83, atrPeriod=6, mult=2.8 |
30.5% | -58.5% | 0.94 | 0.52 | 1046.1x | 86 | 48% |
| Supertrend period=18, mult=2.6 |
33.6% | -62.5% | 0.89 | 0.54 | 1925.6x | 232 | 55% |
| MACD fast=16, slow=57, signal=5 |
26.0% | -85.7% | 0.75 | 0.30 | 416.7x | 440 | 51% |
| Parabolic SAR step=0.01, maxStep=0.34 |
25.3% | -68.0% | 0.74 | 0.37 | 362.7x | 336 | 52% |
| ADX / DI 방향성 period=11, threshold=25 |
16.3% | -69.9% | 0.66 | 0.23 | 51.7x | 290 | 33% |
| Buy and hold | 37.5% | -94.3% | 0.83 | 0.40 | 4034.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 18-day EMA crosses above the 87-day EMA
- Sell — Sell when the 18-day EMA falls below the 87-day EMA