Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Orbia Advance Corp. SAB de CV backtest
10 trend-following strategies were compared on the full daily history of Orbia Advance Corp. SAB de CV. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.3%, MDD -38.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.9%, drawdown -84.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.6%, MDD -61.5%, Sharpe 0.70, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 11.3%, MDD -38.3%, exposure 30%).
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=42, slow=205 |
15.6% | -61.5% | 0.70 | 0.25 | 48.1x | 25 | 55% |
| SMA 크로스오버 fast=43, slow=110 |
15.6% | -53.8% | 0.70 | 0.29 | 47.8x | 55 | 57% |
| ROC 모멘텀 n=114, threshold=0.08 |
14.0% | -57.8% | 0.68 | 0.24 | 32.9x | 175 | 41% |
| Donchian 채널 돌파 entryN=106, exitN=36 |
13.1% | -40.6% | 0.66 | 0.32 | 26.6x | 54 | 40% |
| 볼린저 밴드 돌파 n=47, k=2.4 |
11.3% | -38.3% | 0.64 | 0.29 | 17.3x | 82 | 30% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=4 |
10.1% | -40.6% | 0.59 | 0.25 | 13.0x | 58 | 28% |
| ADX / DI 방향성 period=37, threshold=16 |
6.3% | -57.3% | 0.42 | 0.11 | 5.1x | 124 | 25% |
| Supertrend period=12, mult=4.3 |
7.9% | -79.5% | 0.42 | 0.10 | 7.6x | 118 | 62% |
| Parabolic SAR step=0.01, maxStep=0.08 |
5.4% | -75.7% | 0.34 | 0.07 | 4.1x | 288 | 52% |
| MACD fast=21, slow=30, signal=21 |
-0.7% | -77.7% | 0.09 | -0.01 | 0.8x | 290 | 48% |
| Buy and hold | 10.9% | -84.1% | 0.46 | 0.13 | 15.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 205-day EMA
- Sell — Sell when the 42-day EMA falls below the 205-day EMA