Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Corporacion Inmobiliaria Vesta S.A.B. de C.V. backtest
10 trend-following strategies were compared on the full daily history of Corporacion Inmobiliaria Vesta S.A.B. de C.V.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.2%, drawdown -33.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.5%, MDD -33.0%, Sharpe 0.46, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=7, threshold=-0.12 |
8.5% | -33.0% | 0.46 | 0.26 | 3.2x | 5 | 99% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=21, mult=4 |
1.7% | -9.7% | 0.36 | 0.17 | 1.3x | 6 | 5% |
| ADX / DI 방향성 period=32, threshold=24 |
2.3% | -17.2% | 0.34 | 0.13 | 1.4x | 14 | 10% |
| SMA 크로스오버 fast=59, slow=131 |
3.1% | -29.8% | 0.26 | 0.11 | 1.5x | 28 | 58% |
| Donchian 채널 돌파 entryN=23, exitN=79 |
3.0% | -44.0% | 0.25 | 0.07 | 1.5x | 23 | 76% |
| 볼린저 밴드 돌파 n=54, k=3.4 |
1.4% | -24.5% | 0.23 | 0.06 | 1.2x | 12 | 9% |
| Supertrend period=21, mult=4.1 |
2.2% | -37.8% | 0.21 | 0.06 | 1.4x | 33 | 57% |
| EMA 크로스오버 fast=75, slow=217 |
-1.9% | -53.0% | 0.00 | -0.04 | 0.8x | 21 | 64% |
| Parabolic SAR step=0.025, maxStep=0.08 |
-6.4% | -63.7% | -0.29 | -0.10 | 0.4x | 311 | 52% |
| MACD fast=11, slow=43, signal=15 |
-8.5% | -80.3% | -0.44 | -0.11 | 0.3x | 235 | 48% |
| Buy and hold | 8.2% | -33.0% | 0.44 | 0.25 | 3.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 7-day return is greater than -12%
- Sell — Sell when the 7-day return drops to -12% or below