Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Alsea, S.A.B. de C.V. backtest
10 trend-following strategies were compared on the full daily history of Alsea, S.A.B. de C.V.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.7%, MDD -29.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.6%, drawdown -84.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.9%, MDD -33.2%, Sharpe 0.94, 58% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 51.5%p (CAGR 17.7%, MDD -29.8%, exposure 46%).
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=36, slow=111 |
20.9% | -33.2% | 0.94 | 0.63 | 152.4x | 42 | 58% |
| EMA 크로스오버 fast=6, slow=102 |
19.6% | -39.4% | 0.88 | 0.50 | 114.5x | 88 | 61% |
| 볼린저 밴드 돌파 n=87, k=1.5 |
17.7% | -29.8% | 0.88 | 0.59 | 74.8x | 70 | 46% |
| Supertrend period=11, mult=4.4 |
18.4% | -40.5% | 0.84 | 0.46 | 89.3x | 98 | 57% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=11, mult=1.8 |
17.0% | -35.3% | 0.83 | 0.48 | 64.0x | 98 | 50% |
| Donchian 채널 돌파 entryN=78, exitN=48 |
17.0% | -37.2% | 0.83 | 0.46 | 64.0x | 46 | 53% |
| ROC 모멘텀 n=148, threshold=-0.01 |
18.8% | -56.5% | 0.83 | 0.33 | 97.4x | 114 | 65% |
| ADX / DI 방향성 period=38, threshold=8 |
15.0% | -35.2% | 0.75 | 0.43 | 40.6x | 214 | 49% |
| Parabolic SAR step=0.005, maxStep=0.22 |
14.6% | -55.4% | 0.70 | 0.26 | 37.3x | 184 | 53% |
| MACD fast=10, slow=41, signal=17 |
5.0% | -60.5% | 0.33 | 0.08 | 3.7x | 367 | 50% |
| Buy and hold | 10.6% | -84.7% | 0.47 | 0.13 | 14.5x | 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 36-day average price crosses above the 111-day average
- Sell — Sell (to cash) when the 36-day average falls below the 111-day average