Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Grupo Supervielle SA Class B backtest
10 trend-following strategies were compared on the full daily history of Grupo Supervielle SA Class B. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 53.9%, MDD -45.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 54.4%, drawdown -81.2%).
Sharpe leader (same as main): MACD — CAGR 53.9%, MDD -45.4%, Sharpe 1.21, 49% exposure.
Return/drawdown alternative: MACD — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 35.8%p (CAGR 53.9%, MDD -45.4%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=16, slow=46, signal=7 |
53.9% | -45.4% | 1.21 | 1.19 | 84.2x | 137 | 49% |
| ADX / DI 방향성 period=38, threshold=13 |
43.8% | -39.7% | 1.10 | 1.10 | 42.0x | 52 | 48% |
| Supertrend period=16, mult=4.8 |
44.5% | -69.3% | 1.04 | 0.64 | 44.1x | 24 | 63% |
| Donchian 채널 돌파 entryN=22, exitN=43 |
47.5% | -64.8% | 1.03 | 0.73 | 54.5x | 28 | 73% |
| ROC 모멘텀 n=142, threshold=0.08 |
43.4% | -67.1% | 1.02 | 0.65 | 40.6x | 66 | 61% |
| 볼린저 밴드 돌파 n=41, k=1.5 |
38.4% | -47.7% | 1.02 | 0.81 | 28.3x | 64 | 46% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=17, mult=2.5 |
30.9% | -40.3% | 0.94 | 0.77 | 15.9x | 42 | 42% |
| EMA 크로스오버 fast=12, slow=99 |
35.1% | -71.4% | 0.88 | 0.49 | 22.1x | 30 | 64% |
| SMA 크로스오버 fast=11, slow=106 |
34.4% | -62.4% | 0.88 | 0.55 | 20.9x | 34 | 62% |
| Parabolic SAR step=0.015, maxStep=0.34 |
33.5% | -68.4% | 0.87 | 0.49 | 19.6x | 177 | 56% |
| Buy and hold | 54.4% | -81.2% | 1.02 | 0.67 | 86.8x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (16/46) crosses above its 7-day signal line
- Sell — Sell when the MACD line crosses back below the signal line