Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Compania Sud Americana de Vapores S.A. backtest
10 trend-following strategies were compared on the full daily history of Compania Sud Americana de Vapores S.A.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.9%, MDD -19.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.5%, drawdown -97.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 15.1%, MDD -44.4%, Sharpe 0.81, 33% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.6%p higher than buy and hold, while drawdown improves by 53.1%p (CAGR 9.9%, MDD -19.2%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=80, atrPeriod=25, mult=4 |
15.1% | -44.4% | 0.81 | 0.34 | 42.3x | 42 | 33% |
| ADX / DI 방향성 period=36, threshold=28 |
9.9% | -19.2% | 0.78 | 0.51 | 12.2x | 28 | 16% |
| Donchian 채널 돌파 entryN=54, exitN=23 |
11.8% | -62.4% | 0.63 | 0.19 | 19.4x | 74 | 38% |
| 볼린저 밴드 돌파 n=39, k=3.1 |
9.3% | -30.9% | 0.63 | 0.30 | 10.7x | 66 | 22% |
| SMA 크로스오버 fast=46, slow=90 |
12.8% | -59.4% | 0.62 | 0.22 | 24.8x | 72 | 50% |
| ROC 모멘텀 n=77, threshold=0.07 |
11.8% | -57.3% | 0.62 | 0.21 | 19.2x | 186 | 37% |
| EMA 크로스오버 fast=28, slow=156 |
11.3% | -68.4% | 0.59 | 0.16 | 17.0x | 34 | 45% |
| Supertrend period=12, mult=5 |
8.3% | -76.8% | 0.45 | 0.11 | 8.3x | 100 | 51% |
| Parabolic SAR step=0.01, maxStep=0.16 |
7.2% | -69.2% | 0.41 | 0.10 | 6.4x | 281 | 48% |
| MACD fast=17, slow=24, signal=15 |
6.5% | -68.5% | 0.38 | 0.09 | 5.3x | 339 | 51% |
| Buy and hold | -0.5% | -97.4% | 0.17 | -0.00 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 80-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 80-day average