Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Distribuidora Internacional de Alimentacion SA backtest
10 trend-following strategies were compared on the full daily history of Distribuidora Internacional de Alimentacion SA. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 65.3%, MDD -20.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 24.6%, drawdown -99.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.0%, MDD -11.9%, Sharpe 0.57, 2% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 70.1%, MDD -50.7%, exposure 44%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.6%p lower than buy and hold, while drawdown improves by 87.7%p (CAGR 65.3%, MDD -20.4%, exposure 11%).
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=36, threshold=42 |
3.0% | -11.9% | 0.57 | 0.25 | 1.6x | 2 | 2% |
| EMA 크로스오버 fast=46, slow=93 |
70.1% | -50.7% | 0.26 | 1.38 | 3149.4x | 25 | 44% |
| SMA 크로스오버 fast=39, slow=192 |
69.1% | -47.8% | 0.26 | 1.45 | 2875.6x | 17 | 46% |
| Supertrend period=24, mult=5 |
66.0% | -74.2% | 0.26 | 0.89 | 2180.6x | 33 | 59% |
| ROC 모멘텀 n=117, threshold=-0.04 |
64.0% | -68.5% | 0.26 | 0.93 | 1806.4x | 100 | 53% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=4 |
65.3% | -20.4% | 0.26 | 3.21 | 2037.4x | 12 | 11% |
| Donchian 채널 돌파 entryN=75, exitN=67 |
62.2% | -69.9% | 0.26 | 0.89 | 1535.3x | 23 | 43% |
| 볼린저 밴드 돌파 n=58, k=2.6 |
58.6% | -65.0% | 0.26 | 0.90 | 1086.5x | 34 | 20% |
| Parabolic SAR step=0.005, maxStep=0.22 |
40.1% | -93.4% | 0.25 | 0.43 | 165.7x | 124 | 50% |
| MACD fast=11, slow=24, signal=7 |
-16.6% | -95.3% | -0.33 | -0.17 | 0.1x | 332 | 51% |
| Buy and hold | 24.6% | -99.7% | 0.25 | 0.25 | 28.1x | 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, 36-day) is ≥ 42
- Sell — Sell when direction flips or the trend weakens (ADX < 42)