Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Equatorial S.A. backtest
10 trend-following strategies were compared on the full daily history of Equatorial S.A.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.5%, MDD -51.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.0%, drawdown -89.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.4%, MDD -44.6%, Sharpe 0.63, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 45.0%p (CAGR 7.5%, MDD -51.0%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=18, threshold=-0.15 |
14.4% | -44.6% | 0.63 | 0.32 | 11.9x | 19 | 98% |
| Donchian 채널 돌파 entryN=18, exitN=76 |
9.1% | -53.7% | 0.47 | 0.17 | 5.0x | 42 | 83% |
| EMA 크로스오버 fast=16, slow=79 |
7.6% | -51.3% | 0.44 | 0.15 | 3.9x | 58 | 67% |
| SMA 크로스오버 fast=22, slow=83 |
7.5% | -51.0% | 0.44 | 0.15 | 3.8x | 58 | 63% |
| Supertrend period=18, mult=3.2 |
4.0% | -55.5% | 0.29 | 0.07 | 2.1x | 80 | 64% |
| ADX / DI 방향성 period=29, threshold=9 |
2.2% | -53.4% | 0.22 | 0.04 | 1.5x | 238 | 59% |
| 볼린저 밴드 돌파 n=51, k=2 |
1.3% | -56.8% | 0.17 | 0.02 | 1.3x | 88 | 40% |
| Parabolic SAR step=0.005, maxStep=0.08 |
0.4% | -50.3% | 0.13 | 0.01 | 1.1x | 164 | 55% |
| MACD fast=23, slow=35, signal=14 |
-0.6% | -69.6% | 0.09 | -0.01 | 0.9x | 211 | 52% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=10, mult=2.2 |
-0.9% | -58.2% | 0.05 | -0.01 | 0.9x | 84 | 37% |
| Buy and hold | 4.0% | -89.7% | 0.37 | 0.04 | 2.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 18-day return is greater than -15%
- Sell — Sell when the 18-day return drops to -15% or below