Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Grupo Rotoplas SAB de CV backtest
10 trend-following strategies were compared on the full daily history of Grupo Rotoplas SAB de CV. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.7%, MDD -22.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -6.3%, drawdown -72.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -30.6%, Sharpe 0.47, 41% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.7%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 4.7%, MDD -22.4%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=123 |
8.4% | -30.6% | 0.47 | 0.27 | 2.6x | 17 | 41% |
| ADX / DI 방향성 period=51, threshold=18 |
4.7% | -22.4% | 0.40 | 0.21 | 1.7x | 10 | 12% |
| Donchian 채널 돌파 entryN=32, exitN=44 |
3.4% | -50.7% | 0.26 | 0.07 | 1.5x | 25 | 51% |
| EMA 크로스오버 fast=41, slow=129 |
2.5% | -34.9% | 0.22 | 0.07 | 1.3x | 15 | 37% |
| ROC 모멘텀 n=107, threshold=0.03 |
0.2% | -45.3% | 0.12 | 0.01 | 1.0x | 95 | 36% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=18, mult=3.9 |
0.7% | -24.1% | 0.12 | 0.03 | 1.1x | 8 | 7% |
| Supertrend period=29, mult=3.8 |
-1.6% | -65.4% | 0.08 | -0.02 | 0.8x | 31 | 55% |
| 볼린저 밴드 돌파 n=60, k=2.3 |
-3.0% | -60.3% | -0.08 | -0.05 | 0.7x | 32 | 18% |
| MACD fast=24, slow=71, signal=33 |
-6.0% | -71.8% | -0.10 | -0.08 | 0.5x | 83 | 46% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-13.7% | -85.6% | -0.45 | -0.16 | 0.2x | 201 | 47% |
| Buy and hold | -6.3% | -72.3% | 0.00 | -0.09 | 0.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 42-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 42-day average falls below the 123-day average