Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Banco de Credito e Inversiones backtest
10 trend-following strategies were compared on the full daily history of Banco de Credito e Inversiones. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.5%, MDD -37.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -50.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.7%, MDD -10.6%, Sharpe 0.68, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.5%, MDD -37.4%, exposure 61%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.8%p lower than buy and hold, while drawdown improves by 39.5%p (CAGR 11.5%, MDD -37.4%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=59, k=3.5 |
5.7% | -10.6% | 0.68 | 0.54 | 2.8x | 14 | 14% |
| Donchian 채널 돌파 entryN=109, exitN=36 |
9.7% | -30.6% | 0.66 | 0.32 | 5.6x | 26 | 43% |
| SMA 크로스오버 fast=42, slow=214 |
11.5% | -37.4% | 0.65 | 0.31 | 7.5x | 21 | 61% |
| Supertrend period=14, mult=4.9 |
11.0% | -44.5% | 0.61 | 0.25 | 6.9x | 38 | 64% |
| EMA 크로스오버 fast=67, slow=124 |
9.6% | -43.2% | 0.56 | 0.22 | 5.5x | 25 | 62% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=3.5 |
5.4% | -22.1% | 0.51 | 0.24 | 2.6x | 38 | 23% |
| ROC 모멘텀 n=129, threshold=-0.06 |
6.5% | -67.2% | 0.40 | 0.10 | 3.2x | 126 | 75% |
| MACD fast=16, slow=90, signal=54 |
2.5% | -63.5% | 0.22 | 0.04 | 1.6x | 119 | 52% |
| ADX / DI 방향성 period=29, threshold=29 |
0.5% | -23.0% | 0.12 | 0.02 | 1.1x | 12 | 6% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-1.8% | -80.5% | 0.01 | -0.02 | 0.7x | 233 | 56% |
| Buy and hold | 11.5% | -50.1% | 0.53 | 0.23 | 7.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 59-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 59-day middle average