Trend-Following Backtester · Guide · backtest 한국어

equity · AR

YPF SA Class D backtest

10 trend-following strategies were compared on the full daily history of YPF SA Class D. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 25.8%, MDD -59.2%).

Data 2000-01-03 ~ 2026-07-31daily bars 6,618 (26.6 years)Costs 0.5%Venue BCBAMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 22.7%, drawdown -95.9%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.8%, MDD -59.2%, Sharpe 0.82, 70% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 36.7%p (CAGR 25.8%, MDD -59.2%, exposure 70%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=46, exitN=61
25.8%-59.2%0.820.44445.0x5370%
ROC 모멘텀
n=145, threshold=0.11
22.5%-71.4%0.800.31218.1x20951%
EMA 크로스오버
fast=48, slow=212
23.8%-81.6%0.780.29290.4x2364%
Parabolic SAR
step=0.01, maxStep=0.16
20.8%-62.6%0.770.33150.4x32553%
SMA 크로스오버
fast=28, slow=193
21.4%-82.4%0.740.26171.4x4362%
Supertrend
period=25, mult=4.9
15.1%-58.7%0.610.2641.6x12654%
볼린저 밴드 돌파
n=12, k=1.7
12.9%-71.1%0.600.1825.4x41635%
ADX / DI 방향성
period=39, threshold=9
12.4%-66.0%0.560.1922.2x22543%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=24, mult=2.1
10.4%-69.4%0.500.1513.9x16742%
MACD
fast=7, slow=36, signal=13
10.8%-94.4%0.480.1115.1x47551%
Buy and hold22.7%-95.9%0.660.24228.5x1100%
0.1 1x 10x 100x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -48% -72% -96% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -59.2% (2014-09-30 → 2021-01-21), recovered after 2,899 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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