Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Qualitas Controladora S.A.B. de C.V. backtest
10 trend-following strategies were compared on the full daily history of Qualitas Controladora S.A.B. de C.V.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.0%, MDD -29.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 17.0%, drawdown -41.4%).
Sharpe leader (same as main): Supertrend — CAGR 18.0%, MDD -29.7%, Sharpe 0.88, 55% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.1%, MDD -39.9%, exposure 61%.
Return/drawdown alternative: Supertrend — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 11.7%p (CAGR 18.0%, MDD -29.7%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=4.7 |
18.0% | -29.7% | 0.88 | 0.61 | 6.2x | 22 | 55% |
| Donchian 채널 돌파 entryN=96, exitN=46 |
15.1% | -27.0% | 0.82 | 0.56 | 4.7x | 14 | 46% |
| SMA 크로스오버 fast=54, slow=77 |
18.1% | -39.9% | 0.81 | 0.45 | 6.3x | 35 | 61% |
| 볼린저 밴드 돌파 n=37, k=2.8 |
12.1% | -23.8% | 0.80 | 0.51 | 3.5x | 38 | 30% |
| ROC 모멘텀 n=91, threshold=0.03 |
12.4% | -48.2% | 0.65 | 0.26 | 3.6x | 106 | 54% |
| EMA 크로스오버 fast=44, slow=60 |
11.6% | -49.7% | 0.59 | 0.23 | 3.3x | 30 | 61% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=20, mult=2.3 |
6.6% | -19.7% | 0.57 | 0.34 | 2.0x | 40 | 17% |
| ADX / DI 방향성 period=13, threshold=26 |
7.7% | -37.3% | 0.55 | 0.21 | 2.3x | 72 | 26% |
| MACD fast=15, slow=69, signal=31 |
8.4% | -33.4% | 0.50 | 0.25 | 2.4x | 86 | 49% |
| Parabolic SAR step=0.035, maxStep=0.08 |
-1.9% | -49.7% | 0.02 | -0.04 | 0.8x | 244 | 52% |
| Buy and hold | 17.0% | -41.4% | 0.67 | 0.41 | 5.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)