Trend-Following Backtester · Guide · backtest 한국어
equity · CO
Grupo Nutresa S.A. backtest
10 trend-following strategies were compared on the full daily history of Grupo Nutresa S.A.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.6%, drawdown -43.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.8%, MDD -47.8%, Sharpe 0.60, 61% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.9%, MDD -42.1%, exposure 60%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=49, exitN=50 |
13.8% | -47.8% | 0.60 | 0.29 | 11.1x | 39 | 61% |
| SMA 크로스오버 fast=27, slow=280 |
14.9% | -42.1% | 0.60 | 0.35 | 13.2x | 25 | 60% |
| EMA 크로스오버 fast=49, slow=202 |
12.7% | -50.4% | 0.53 | 0.25 | 9.3x | 29 | 58% |
| ROC 모멘텀 n=89, threshold=0.07 |
9.4% | -51.0% | 0.47 | 0.18 | 5.3x | 122 | 34% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=11, mult=2.6 |
8.6% | -51.3% | 0.45 | 0.17 | 4.7x | 70 | 37% |
| 볼린저 밴드 돌파 n=52, k=2.7 |
5.7% | -58.8% | 0.37 | 0.10 | 2.8x | 43 | 25% |
| MACD fast=19, slow=46, signal=23 |
5.4% | -59.2% | 0.32 | 0.09 | 2.7x | 177 | 46% |
| Supertrend period=15, mult=5 |
3.9% | -59.4% | 0.28 | 0.07 | 2.0x | 69 | 58% |
| ADX / DI 방향성 period=33, threshold=18 |
3.8% | -43.6% | 0.27 | 0.09 | 2.0x | 72 | 23% |
| Parabolic SAR step=0.005, maxStep=0.3 |
3.0% | -68.3% | 0.24 | 0.04 | 1.7x | 123 | 52% |
| Buy and hold | 17.6% | -43.3% | 0.61 | 0.41 | 20.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 49 days
- Sell — Sell when price breaks below the lowest low of the last 50 days