Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Compania Cervecerias Unidas S.A. backtest
10 trend-following strategies were compared on the full daily history of Compania Cervecerias Unidas S.A.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.2%, drawdown -57.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.1%, MDD -57.8%, Sharpe 0.21, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 100% n=4, threshold=-0.15 |
2.1% | -57.8% | 0.21 | 0.04 | 1.7x | 3 | 100% |
| SMA 크로스오버 fast=46, slow=270 |
1.1% | -36.6% | 0.15 | 0.03 | 1.3x | 36 | 58% |
| EMA 크로스오버 fast=52, slow=165 |
-0.6% | -50.6% | 0.06 | -0.01 | 0.9x | 44 | 58% |
| Donchian 채널 돌파 entryN=56, exitN=73 |
-0.9% | -49.0% | 0.04 | -0.02 | 0.8x | 58 | 57% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
-0.3% | -37.6% | -0.01 | -0.01 | 0.9x | 30 | 10% |
| MACD fast=28, slow=64, signal=39 |
-1.6% | -67.4% | -0.01 | -0.02 | 0.6x | 165 | 52% |
| ADX / DI 방향성 period=31, threshold=30 |
-0.1% | -12.7% | -0.02 | -0.01 | 1.0x | 12 | 1% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=3.2 |
-1.2% | -48.3% | -0.04 | -0.02 | 0.7x | 86 | 26% |
| Supertrend period=29, mult=4.7 |
-2.4% | -69.0% | -0.05 | -0.04 | 0.5x | 110 | 51% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-9.3% | -92.9% | -0.46 | -0.10 | 0.1x | 461 | 50% |
| Buy and hold | 2.2% | -57.8% | 0.21 | 0.04 | 1.8x | 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 4-day return is greater than -15%
- Sell — Sell when the 4-day return drops to -15% or below