Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Loma Negra Compania Industrial Argentina SA backtest
10 trend-following strategies were compared on the full daily history of Loma Negra Compania Industrial Argentina SA. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 55.6%, drawdown -54.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 53.7%, MDD -48.8%, Sharpe 1.16, 90% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=9, exitN=74 |
53.7% | -48.8% | 1.16 | 1.10 | 43.0x | 17 | 90% |
| ROC 모멘텀 n=153, threshold=-0.01 |
41.6% | -47.7% | 1.04 | 0.87 | 20.9x | 34 | 75% |
| EMA 크로스오버 fast=8, slow=212 |
40.3% | -50.5% | 1.00 | 0.80 | 19.4x | 11 | 79% |
| Supertrend period=4, mult=2.3 |
34.3% | -48.8% | 0.96 | 0.70 | 13.2x | 63 | 59% |
| SMA 크로스오버 fast=47, slow=179 |
35.2% | -65.8% | 0.92 | 0.53 | 14.0x | 9 | 75% |
| ADX / DI 방향성 period=49, threshold=7 |
32.3% | -51.9% | 0.88 | 0.62 | 11.5x | 57 | 73% |
| MACD fast=15, slow=23, signal=11 |
24.1% | -62.2% | 0.78 | 0.39 | 6.6x | 137 | 50% |
| 볼린저 밴드 돌파 n=23, k=1.2 |
20.7% | -51.8% | 0.72 | 0.40 | 5.2x | 107 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=10, mult=1 |
18.4% | -48.7% | 0.65 | 0.38 | 4.4x | 67 | 61% |
| Parabolic SAR step=0.015, maxStep=0.12 |
15.4% | -58.6% | 0.58 | 0.26 | 3.5x | 153 | 57% |
| Buy and hold | 55.6% | -54.0% | 1.13 | 1.03 | 47.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 9 days
- Sell — Sell when price breaks below the lowest low of the last 74 days