Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Vinte Viviendas Integrales SAB DE CV backtest
10 trend-following strategies were compared on the full daily history of Vinte Viviendas Integrales SAB DE CV. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.9%, drawdown -17.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.3%, MDD -1.5%, Sharpe 0.71, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.1%, MDD -19.4%, exposure 94%.
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 n=13, threshold=0.1 |
1.3% | -1.5% | 0.71 | 0.88 | 1.1x | 6 | 1% |
| ADX / DI 방향성 period=45, threshold=32 |
1.2% | -1.7% | 0.65 | 0.68 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=34, exitN=83 |
2.1% | -19.4% | 0.23 | 0.11 | 1.2x | 5 | 94% |
| SMA 크로스오버 fast=53, slow=155 |
-0.1% | -22.8% | 0.04 | -0.01 | 1.0x | 23 | 45% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=26, mult=3.9 |
-0.2% | -13.5% | -0.03 | -0.01 | 1.0x | 12 | 4% |
| EMA 크로스오버 fast=56, slow=182 |
-1.0% | -28.1% | -0.05 | -0.03 | 0.9x | 17 | 54% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
-0.8% | -17.9% | -0.11 | -0.04 | 0.9x | 18 | 11% |
| MACD fast=31, slow=35, signal=29 |
-3.0% | -38.8% | -0.33 | -0.08 | 0.7x | 90 | 53% |
| Supertrend period=22, mult=4.5 |
-4.1% | -39.0% | -0.47 | -0.11 | 0.7x | 51 | 48% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-4.7% | -46.6% | -0.49 | -0.10 | 0.6x | 75 | 56% |
| Buy and hold | 2.9% | -17.2% | 0.29 | 0.17 | 1.3x | 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 13-day return is greater than 10%
- Sell — Sell when the 13-day return drops to 10% or below