Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Gentera SAB de CV backtest
10 trend-following strategies were compared on the full daily history of Gentera SAB de CV. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.2%, MDD -26.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.7%, drawdown -89.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -39.4%, Sharpe 0.48, 61% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 49.7%p (CAGR 6.2%, MDD -26.4%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=78, exitN=77 |
9.9% | -39.4% | 0.48 | 0.25 | 4.4x | 20 | 61% |
| EMA 크로스오버 fast=34, slow=90 |
8.8% | -44.7% | 0.45 | 0.20 | 3.7x | 28 | 57% |
| SMA 크로스오버 fast=9, slow=172 |
8.7% | -50.7% | 0.44 | 0.17 | 3.7x | 32 | 58% |
| 볼린저 밴드 돌파 n=47, k=2.2 |
6.2% | -26.4% | 0.40 | 0.24 | 2.6x | 56 | 35% |
| Supertrend period=21, mult=5 |
5.6% | -43.7% | 0.33 | 0.13 | 2.3x | 32 | 61% |
| ROC 모멘텀 n=149, threshold=0.03 |
4.1% | -64.8% | 0.29 | 0.06 | 1.9x | 80 | 53% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=2.1 |
3.7% | -39.7% | 0.28 | 0.09 | 1.8x | 58 | 33% |
| ADX / DI 방향성 period=14, threshold=23 |
2.7% | -41.5% | 0.24 | 0.06 | 1.5x | 118 | 26% |
| MACD fast=38, slow=49, signal=24 |
-0.1% | -62.4% | 0.12 | -0.00 | 1.0x | 115 | 49% |
| Parabolic SAR step=0.03, maxStep=0.38 |
-9.5% | -81.1% | -0.25 | -0.12 | 0.2x | 435 | 53% |
| Buy and hold | 2.7% | -89.0% | 0.26 | 0.03 | 1.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 78 days
- Sell — Sell when price breaks below the lowest low of the last 77 days