Trend-Following Backtester · Guide · backtest 한국어
etf · CL
Fondo de Inversion LarrainVial Deuda Privada 2017-22.06.27 backtest
10 trend-following strategies were compared on the full daily history of Fondo de Inversion LarrainVial Deuda Privada 2017-22.06.27. 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 5.8%, drawdown -9.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.7%, MDD -10.4%, Sharpe 0.49, 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=9, threshold=-0.08 |
5.7% | -10.4% | 0.49 | 0.55 | 1.6x | 3 | 100% |
| SMA 크로스오버 fast=48, slow=187 |
4.9% | -8.3% | 0.47 | 0.59 | 1.5x | 5 | 80% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
0.6% | -1.5% | 0.45 | 0.41 | 1.1x | 2 | 14% |
| EMA 크로스오버 fast=77, slow=173 |
4.5% | -9.2% | 0.42 | 0.48 | 1.4x | 5 | 83% |
| Donchian 채널 돌파 Hold-like · Exposure 97% entryN=11, exitN=104 |
3.8% | -14.6% | 0.36 | 0.26 | 1.4x | 7 | 97% |
| ADX / DI 방향성 period=54, threshold=11 |
0.8% | -7.8% | 0.15 | 0.11 | 1.1x | 18 | 37% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=13, mult=4 |
-1.4% | -16.6% | -0.30 | -0.08 | 0.9x | 20 | 26% |
| Supertrend period=17, mult=4.5 |
-4.3% | -37.5% | -0.35 | -0.11 | 0.7x | 42 | 66% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-5.9% | -39.6% | -0.49 | -0.15 | 0.6x | 91 | 71% |
| MACD fast=32, slow=71, signal=54 |
-8.0% | -49.8% | -0.90 | -0.16 | 0.5x | 68 | 47% |
| Buy and hold | 5.8% | -9.5% | 0.50 | 0.61 | 1.6x | 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 9-day return is greater than -8%
- Sell — Sell when the 9-day return drops to -8% or below