Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Grupo Lamosa SAB de CV backtest
10 trend-following strategies were compared on the full daily history of Grupo Lamosa SAB de CV. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 26.9%, MDD -23.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 13.7%, drawdown -80.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.0%, MDD -30.6%, Sharpe 0.60, 57% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 26.9%, MDD -23.3%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 49.8%p (CAGR 26.9%, MDD -23.3%, exposure 56%).
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=19, slow=309 |
13.0% | -30.6% | 0.60 | 0.42 | 25.6x | 26 | 57% |
| Donchian 채널 돌파 entryN=87, exitN=46 |
26.9% | -23.3% | 0.55 | 1.15 | 554.9x | 26 | 56% |
| EMA 크로스오버 fast=53, slow=193 |
21.6% | -32.8% | 0.53 | 0.66 | 180.4x | 10 | 63% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=27, mult=4 |
17.8% | -29.3% | 0.46 | 0.61 | 77.6x | 52 | 40% |
| ADX / DI 방향성 period=38, threshold=24 |
15.3% | -58.5% | 0.44 | 0.26 | 44.1x | 52 | 32% |
| ROC 모멘텀 n=141, threshold=-0.01 |
16.5% | -81.0% | 0.42 | 0.20 | 57.2x | 126 | 64% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
15.0% | -28.4% | 0.42 | 0.53 | 40.5x | 40 | 35% |
| Supertrend period=15, mult=5 |
12.6% | -54.5% | 0.38 | 0.23 | 23.4x | 126 | 55% |
| Parabolic SAR step=0.005, maxStep=0.32 |
6.5% | -84.5% | 0.29 | 0.08 | 5.3x | 105 | 55% |
| MACD fast=19, slow=26, signal=19 |
-9.2% | -97.0% | -0.03 | -0.09 | 0.1x | 264 | 43% |
| Buy and hold | 13.7% | -80.4% | 0.44 | 0.17 | 30.3x | 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 19-day average price crosses above the 309-day average
- Sell — Sell (to cash) when the 19-day average falls below the 309-day average