Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Petroreconcavo SA backtest
10 trend-following strategies were compared on the full daily history of Petroreconcavo SA. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -1.1%, MDD -26.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.2%, drawdown -73.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.3%, MDD -42.2%, Sharpe 0.29, 34% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR -1.1%, MDD -26.3%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=6, slow=171 |
4.3% | -42.2% | 0.29 | 0.10 | 1.2x | 12 | 34% |
| Parabolic SAR step=0.005, maxStep=0.02 |
3.9% | -44.9% | 0.28 | 0.09 | 1.2x | 24 | 43% |
| Donchian 채널 돌파 entryN=64, exitN=40 |
3.4% | -40.0% | 0.26 | 0.08 | 1.2x | 8 | 33% |
| EMA 크로스오버 fast=8, slow=157 |
2.5% | -44.2% | 0.23 | 0.06 | 1.1x | 12 | 33% |
| Supertrend period=25, mult=3.7 |
-3.0% | -57.6% | 0.02 | -0.05 | 0.9x | 23 | 42% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=11, mult=3 |
-1.1% | -26.3% | 0.02 | -0.04 | 0.9x | 10 | 15% |
| ROC 모멘텀 n=83, threshold=-0.04 |
-6.3% | -69.4% | -0.07 | -0.09 | 0.7x | 54 | 46% |
| MACD fast=20, slow=40, signal=14 |
-6.2% | -69.1% | -0.08 | -0.09 | 0.7x | 51 | 50% |
| 볼린저 밴드 돌파 n=46, k=1.4 |
-6.7% | -54.1% | -0.19 | -0.12 | 0.7x | 32 | 28% |
| ADX / DI 방향성 period=28, threshold=18 |
-4.0% | -32.6% | -0.22 | -0.12 | 0.8x | 18 | 10% |
| Buy and hold | -6.2% | -73.8% | 0.06 | -0.08 | 0.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 6-day average price crosses above the 171-day average
- Sell — Sell (to cash) when the 6-day average falls below the 171-day average