Trend-Following Backtester · Guide · backtest 한국어
equity · CO
Grupo Argos S.A. backtest
10 trend-following strategies were compared on the full daily history of Grupo Argos S.A.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.0%, drawdown -93.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -18.2%, Sharpe 0.37, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.2%, MDD -95.3%, exposure 72%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=35 |
1.8% | -18.2% | 0.37 | 0.10 | 1.6x | 10 | 3% |
| Donchian 채널 돌파 entryN=22, exitN=51 |
4.2% | -95.3% | 0.28 | 0.04 | 3.0x | 79 | 72% |
| SMA 크로스오버 fast=19, slow=236 |
2.5% | -95.5% | 0.27 | 0.03 | 1.9x | 47 | 56% |
| EMA 크로스오버 fast=33, slow=196 |
2.3% | -95.6% | 0.27 | 0.02 | 1.8x | 41 | 52% |
| ROC 모멘텀 n=198, threshold=-0.03 |
0.8% | -96.8% | 0.26 | 0.01 | 1.3x | 147 | 59% |
| Keltner 채널 돌파 emaPeriod=94, atrPeriod=14, mult=2.8 |
-8.0% | -99.7% | 0.17 | -0.08 | 0.1x | 79 | 38% |
| MACD fast=10, slow=47, signal=18 |
-8.7% | -95.9% | 0.16 | -0.09 | 0.1x | 373 | 52% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
-7.6% | -99.1% | 0.16 | -0.08 | 0.1x | 39 | 13% |
| Supertrend period=29, mult=2.9 |
-18.7% | -99.8% | -0.12 | -0.19 | 0.0x | 238 | 58% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-19.9% | -99.9% | -0.17 | -0.20 | 0.0x | 393 | 54% |
| Buy and hold | 5.0% | -93.6% | 0.29 | 0.05 | 3.7x | 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, 26-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)