Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Corporacion Moctezuma SAB de CV backtest
10 trend-following strategies were compared on the full daily history of Corporacion Moctezuma SAB de CV. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.0%, MDD -27.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -57.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.8%, MDD -5.0%, Sharpe 1.09, 19% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.0%, MDD -27.2%, exposure 63%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.5%p lower than buy and hold, while drawdown improves by 52.5%p (CAGR 12.0%, MDD -27.2%, exposure 63%).
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=32, threshold=49 |
6.8% | -5.0% | 1.09 | 1.37 | 5.8x | 10 | 19% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
5.4% | -18.7% | 0.81 | 0.29 | 4.0x | 46 | 20% |
| SMA 크로스오버 fast=47, slow=91 |
12.0% | -27.2% | 0.70 | 0.44 | 20.2x | 69 | 63% |
| Donchian 채널 돌파 entryN=100, exitN=56 |
11.4% | -44.8% | 0.68 | 0.25 | 17.5x | 33 | 63% |
| EMA 크로스오버 fast=48, slow=137 |
10.5% | -33.7% | 0.62 | 0.31 | 14.2x | 29 | 70% |
| ROC 모멘텀 n=147, threshold=-0.07 |
7.5% | -60.5% | 0.46 | 0.12 | 6.9x | 101 | 83% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=10, mult=3.9 |
3.9% | -58.0% | 0.39 | 0.07 | 2.7x | 94 | 36% |
| Parabolic SAR step=0.005, maxStep=0.02 |
4.4% | -64.1% | 0.33 | 0.07 | 3.2x | 108 | 64% |
| Supertrend period=13, mult=4.7 |
-1.5% | -89.3% | 0.00 | -0.02 | 0.7x | 177 | 62% |
| MACD fast=31, slow=69, signal=19 |
-3.0% | -85.1% | -0.09 | -0.03 | 0.5x | 226 | 46% |
| Buy and hold | 12.3% | -57.5% | 0.58 | 0.21 | 21.9x | 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, 32-day) is ≥ 49
- Sell — Sell when direction flips or the trend weakens (ADX < 49)