Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Arca Continental SAB de CV backtest
10 trend-following strategies were compared on the full daily history of Arca Continental SAB de CV. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.2%, drawdown -47.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.8%, MDD -27.1%, Sharpe 0.57, 35% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.7%, MDD -38.6%, exposure 58%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=86, k=2.9 |
7.8% | -27.1% | 0.57 | 0.29 | 6.0x | 30 | 35% |
| SMA 크로스오버 fast=23, slow=82 |
8.7% | -38.6% | 0.56 | 0.23 | 7.2x | 68 | 58% |
| Donchian 채널 돌파 entryN=60, exitN=47 |
8.2% | -40.0% | 0.53 | 0.20 | 6.5x | 52 | 56% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=20, mult=3.5 |
6.6% | -28.4% | 0.52 | 0.23 | 4.6x | 36 | 34% |
| EMA 크로스오버 fast=29, slow=71 |
7.6% | -37.4% | 0.49 | 0.20 | 5.7x | 60 | 61% |
| ROC 모멘텀 n=129, threshold=-0.08 |
7.4% | -66.2% | 0.44 | 0.11 | 5.4x | 103 | 81% |
| Parabolic SAR step=0.005, maxStep=0.06 |
6.7% | -39.4% | 0.44 | 0.17 | 4.6x | 148 | 55% |
| Supertrend period=22, mult=2.9 |
6.0% | -43.6% | 0.41 | 0.14 | 4.0x | 106 | 58% |
| ADX / DI 방향성 period=39, threshold=38 |
2.4% | -19.8% | 0.29 | 0.12 | 1.7x | 12 | 13% |
| MACD fast=16, slow=58, signal=17 |
0.3% | -64.8% | 0.10 | 0.00 | 1.1x | 236 | 48% |
| Buy and hold | 11.2% | -47.0% | 0.57 | 0.24 | 12.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 86-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 86-day middle average