Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Telecom Argentina SA Class B backtest
10 trend-following strategies were compared on the full daily history of Telecom Argentina SA Class B. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 25.7%, MDD -52.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 27.2%, drawdown -94.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 26.3%, MDD -64.7%, Sharpe 0.78, 73% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 29.3%p (CAGR 25.7%, MDD -52.3%, exposure 71%).
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=67, exitN=104 |
26.3% | -64.7% | 0.78 | 0.41 | 501.5x | 25 | 73% |
| SMA 크로스오버 fast=53, slow=163 |
26.1% | -65.3% | 0.75 | 0.40 | 483.6x | 33 | 69% |
| EMA 크로스오버 fast=29, slow=190 |
25.7% | -52.3% | 0.74 | 0.49 | 442.0x | 33 | 71% |
| ROC 모멘텀 n=148, threshold=-0.04 |
22.1% | -71.3% | 0.67 | 0.31 | 203.0x | 145 | 71% |
| Supertrend period=17, mult=5 |
17.5% | -64.1% | 0.62 | 0.27 | 73.2x | 81 | 58% |
| 볼린저 밴드 돌파 n=58, k=2 |
14.3% | -59.7% | 0.59 | 0.24 | 34.9x | 102 | 40% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=13, mult=1.4 |
14.4% | -68.8% | 0.58 | 0.21 | 35.9x | 196 | 44% |
| Parabolic SAR step=0.03, maxStep=0.14 |
10.7% | -69.6% | 0.47 | 0.15 | 14.9x | 667 | 55% |
| MACD fast=12, slow=42, signal=11 |
9.2% | -63.5% | 0.43 | 0.15 | 10.5x | 416 | 51% |
| ADX / DI 방향성 period=38, threshold=11 |
6.6% | -63.1% | 0.36 | 0.11 | 5.6x | 183 | 41% |
| Buy and hold | 27.2% | -94.0% | 0.72 | 0.29 | 612.1x | 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 67 days
- Sell — Sell when price breaks below the lowest low of the last 104 days