Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Banco Itau Chile backtest
10 trend-following strategies were compared on the full daily history of Banco Itau Chile. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.4%, MDD -41.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.6%, drawdown -82.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.0%, MDD -48.5%, Sharpe 0.49, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 4.4%, MDD -41.3%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=30, slow=63 |
7.0% | -48.5% | 0.49 | 0.15 | 5.0x | 57 | 51% |
| SMA 크로스오버 fast=39, slow=80 |
6.7% | -45.7% | 0.47 | 0.15 | 4.6x | 63 | 51% |
| Donchian 채널 돌파 entryN=54, exitN=67 |
6.4% | -54.6% | 0.44 | 0.12 | 4.3x | 37 | 59% |
| Supertrend period=11, mult=5 |
6.0% | -66.0% | 0.42 | 0.09 | 4.0x | 61 | 55% |
| 볼린저 밴드 돌파 n=35, k=2 |
4.4% | -41.3% | 0.39 | 0.11 | 2.8x | 119 | 30% |
| ADX / DI 방향성 period=32, threshold=29 |
1.9% | -20.1% | 0.34 | 0.10 | 1.6x | 14 | 5% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=27, mult=3.3 |
3.2% | -47.0% | 0.32 | 0.07 | 2.1x | 60 | 23% |
| ROC 모멘텀 n=67, threshold=0.03 |
3.1% | -57.8% | 0.27 | 0.05 | 2.0x | 235 | 41% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.6% | -72.2% | 0.18 | 0.02 | 1.4x | 171 | 53% |
| MACD fast=17, slow=46, signal=14 |
-0.8% | -66.7% | 0.04 | -0.01 | 0.8x | 279 | 50% |
| Buy and hold | 3.6% | -82.5% | 0.27 | 0.04 | 2.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 30-day EMA crosses above the 63-day EMA
- Sell — Sell when the 30-day EMA falls below the 63-day EMA