Trend-Following Backtester · Guide · backtest 한국어
equity · CO
Grupo Cibest S.A. backtest
10 trend-following strategies were compared on the full daily history of Grupo Cibest S.A.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.3%, MDD -52.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.8%, drawdown -74.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.2%, MDD -37.3%, Sharpe 0.69, 26% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.3%, MDD -52.6%, exposure 67%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.6%p lower than buy and hold, while drawdown improves by 37.1%p (CAGR 14.3%, MDD -52.6%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=51, threshold=16 |
10.2% | -37.3% | 0.69 | 0.27 | 13.3x | 56 | 26% |
| Donchian 채널 돌파 entryN=49, exitN=62 |
14.3% | -52.6% | 0.66 | 0.27 | 35.1x | 51 | 67% |
| EMA 크로스오버 fast=18, slow=110 |
12.9% | -59.5% | 0.63 | 0.22 | 25.7x | 79 | 64% |
| SMA 크로스오버 fast=11, slow=114 |
12.9% | -59.1% | 0.62 | 0.22 | 25.1x | 89 | 64% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=26, mult=4 |
8.8% | -46.5% | 0.59 | 0.19 | 9.6x | 74 | 31% |
| 볼린저 밴드 돌파 n=43, k=2.7 |
8.3% | -41.6% | 0.58 | 0.20 | 8.5x | 75 | 27% |
| ROC 모멘텀 n=25, threshold=-0.08 |
13.2% | -58.6% | 0.58 | 0.23 | 27.3x | 239 | 88% |
| Supertrend period=4, mult=4.3 |
10.8% | -48.6% | 0.57 | 0.22 | 15.5x | 163 | 61% |
| Parabolic SAR step=0.015, maxStep=0.24 |
10.2% | -58.5% | 0.54 | 0.17 | 13.2x | 398 | 55% |
| MACD fast=19, slow=26, signal=22 |
7.8% | -69.3% | 0.44 | 0.11 | 7.5x | 315 | 51% |
| Buy and hold | 17.8% | -74.5% | 0.53 | 0.24 | 79.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 51-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)