Trend-Following Backtester · Guide · backtest 한국어
equity · CO
Cementos Argos SA backtest
10 trend-following strategies were compared on the full daily history of Cementos Argos SA. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
5 of 10 beat buy and hold (CAGR 4.0%, drawdown -97.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.6%, MDD -90.4%, Sharpe 0.29, 56% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=39, slow=57 |
9.6% | -90.4% | 0.29 | 0.11 | 11.4x | 147 | 56% |
| EMA 크로스오버 fast=43, slow=210 |
6.3% | -94.5% | 0.29 | 0.07 | 5.0x | 23 | 54% |
| Donchian 채널 돌파 entryN=35, exitN=18 |
7.4% | -90.4% | 0.28 | 0.08 | 6.6x | 134 | 41% |
| ROC 모멘텀 n=88, threshold=0.14 |
7.8% | -90.4% | 0.28 | 0.09 | 7.4x | 154 | 28% |
| MACD fast=19, slow=54, signal=19 |
4.0% | -90.7% | 0.27 | 0.04 | 2.8x | 270 | 53% |
| 볼린저 밴드 돌파 n=58, k=2.7 |
-0.0% | -99.0% | 0.21 | -0.00 | 1.0x | 64 | 25% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=15, mult=3.4 |
-1.2% | -99.0% | 0.20 | -0.01 | 0.7x | 88 | 30% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-5.2% | -92.0% | 0.19 | -0.06 | 0.2x | 436 | 54% |
| ADX / DI 방향성 period=9, threshold=39 |
1.5% | -72.6% | 0.17 | 0.02 | 1.5x | 218 | 19% |
| Supertrend period=29, mult=4.5 |
-12.0% | -99.2% | 0.02 | -0.12 | 0.0x | 144 | 50% |
| Buy and hold | 4.0% | -97.5% | 0.29 | 0.04 | 2.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 39-day average price crosses above the 57-day average
- Sell — Sell (to cash) when the 39-day average falls below the 57-day average