Trend-Following Backtester · Guide · backtest 한국어
equity · MX
G. Collado SAB de CV backtest
10 trend-following strategies were compared on the full daily history of G. Collado SAB de CV. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 0.8%, MDD -14.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -5.1%, drawdown -77.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 0.8%, MDD -14.5%, Sharpe 0.13, 25% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 62.8%p (CAGR 0.8%, MDD -14.5%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=40, slow=112 |
0.8% | -14.5% | 0.13 | 0.06 | 1.2x | 12 | 25% |
| SMA 크로스오버 fast=16, slow=191 |
0.4% | -14.5% | 0.10 | 0.03 | 1.1x | 16 | 24% |
| ROC 모멘텀 n=116, threshold=0.11 |
0.2% | -27.5% | 0.08 | 0.01 | 1.0x | 18 | 9% |
| ADX / DI 방향성 period=17, threshold=36 |
0.1% | -27.6% | 0.06 | 0.00 | 1.0x | 28 | 18% |
| 볼린저 밴드 돌파 n=43, k=2.9 |
-0.3% | -19.1% | -0.04 | -0.02 | 0.9x | 16 | 21% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=21, mult=4 |
-1.2% | -26.5% | -0.17 | -0.04 | 0.8x | 20 | 23% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.7% | -57.5% | -0.18 | -0.06 | 0.5x | 22 | 38% |
| Donchian 채널 돌파 Hold-like · Exposure 97% entryN=6, exitN=138 |
-8.1% | -84.6% | -0.24 | -0.10 | 0.2x | 39 | 97% |
| Supertrend period=14, mult=4.8 |
-6.3% | -73.7% | -0.36 | -0.09 | 0.3x | 54 | 43% |
| MACD fast=10, slow=18, signal=8 |
-9.3% | -85.3% | -0.53 | -0.11 | 0.2x | 95 | 58% |
| Buy and hold | -5.1% | -77.3% | -0.08 | -0.07 | 0.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 40-day EMA crosses above the 112-day EMA
- Sell — Sell when the 40-day EMA falls below the 112-day EMA