Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Promotora y Operadora de Infraestructura SA backtest
10 trend-following strategies were compared on the full daily history of Promotora y Operadora de Infraestructura SA. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.3%, MDD -25.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 20.3%, drawdown -90.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.1%, MDD -60.9%, Sharpe 0.86, 55% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 28.2%, MDD -58.7%, exposure 84%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 29.6%p (CAGR 20.3%, MDD -25.2%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=29, slow=128 |
19.1% | -60.9% | 0.86 | 0.31 | 105.1x | 46 | 55% |
| Donchian 채널 돌파 entryN=24, exitN=84 |
28.2% | -58.7% | 0.81 | 0.48 | 730.4x | 29 | 84% |
| ADX / DI 방향성 period=32, threshold=13 |
23.1% | -49.1% | 0.74 | 0.47 | 252.3x | 119 | 50% |
| EMA 크로스오버 fast=37, slow=114 |
23.1% | -56.6% | 0.73 | 0.41 | 247.8x | 39 | 71% |
| ROC 모멘텀 n=139, threshold=0.06 |
14.6% | -71.2% | 0.72 | 0.21 | 37.7x | 162 | 45% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=19, mult=3.8 |
20.3% | -25.2% | 0.70 | 0.80 | 135.6x | 30 | 25% |
| Supertrend period=13, mult=4.9 |
21.7% | -63.0% | 0.67 | 0.34 | 182.8x | 43 | 74% |
| 볼린저 밴드 돌파 n=22, k=2.4 |
17.3% | -56.5% | 0.61 | 0.31 | 70.1x | 120 | 28% |
| Parabolic SAR step=0.015, maxStep=0.26 |
12.7% | -79.3% | 0.46 | 0.16 | 24.1x | 366 | 50% |
| MACD fast=17, slow=48, signal=24 |
7.2% | -75.1% | 0.38 | 0.10 | 6.4x | 219 | 52% |
| Buy and hold | 20.3% | -90.5% | 0.59 | 0.22 | 135.2x | 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 29-day average price crosses above the 128-day average
- Sell — Sell (to cash) when the 29-day average falls below the 128-day average