Trend-Following Backtester · Guide · backtest 한국어
etf · CL
Fondo de Inversion Marketplus Europa Series A backtest
10 trend-following strategies were compared on the full daily history of Fondo de Inversion Marketplus Europa Series A. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.8%, MDD -21.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.1%, drawdown -30.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.8%, MDD -21.2%, Sharpe 0.67, 75% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 9.1%p (CAGR 8.8%, MDD -21.2%, exposure 75%).
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 n=81, threshold=-0.01 |
8.8% | -21.2% | 0.67 | 0.41 | 2.0x | 47 | 75% |
| Donchian 채널 돌파 entryN=114, exitN=78 |
7.4% | -21.5% | 0.62 | 0.34 | 1.8x | 9 | 61% |
| Parabolic SAR step=0.02, maxStep=0.12 |
7.1% | -20.9% | 0.59 | 0.34 | 1.8x | 85 | 59% |
| EMA 크로스오버 fast=20, slow=38 |
5.4% | -18.7% | 0.45 | 0.29 | 1.5x | 31 | 74% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=20, mult=4 |
4.9% | -20.1% | 0.43 | 0.24 | 1.5x | 29 | 64% |
| SMA 크로스오버 fast=67, slow=120 |
5.7% | -37.8% | 0.41 | 0.15 | 1.6x | 15 | 63% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
2.7% | -11.6% | 0.41 | 0.23 | 1.2x | 14 | 12% |
| ADX / DI 방향성 period=36, threshold=11 |
2.8% | -22.4% | 0.29 | 0.13 | 1.3x | 60 | 46% |
| MACD fast=15, slow=43, signal=17 |
-1.9% | -37.3% | -0.11 | -0.05 | 0.9x | 85 | 45% |
| Supertrend period=29, mult=4.7 |
-5.1% | -44.1% | -0.36 | -0.12 | 0.6x | 89 | 66% |
| Buy and hold | 10.1% | -30.3% | 0.57 | 0.33 | 2.2x | 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 81-day return is greater than -1%
- Sell — Sell when the 81-day return drops to -1% or below