Trend-Following Backtester · Guide · backtest 한국어
equity · US
Adecoagro S.A. backtest
10 trend-following strategies were compared on the full daily history of Adecoagro S.A.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.4%, MDD -28.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.2%, drawdown -73.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -28.8%, Sharpe 0.44, 20% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 44.9%p (CAGR 6.4%, MDD -28.8%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=92, exitN=23 |
6.4% | -28.8% | 0.44 | 0.22 | 2.6x | 24 | 20% |
| 볼린저 밴드 돌파 n=39, k=2.7 |
3.4% | -43.1% | 0.29 | 0.08 | 1.7x | 44 | 18% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=20, mult=3.3 |
2.9% | -38.2% | 0.27 | 0.08 | 1.6x | 36 | 14% |
| EMA 크로스오버 fast=38, slow=41 |
0.7% | -50.9% | 0.15 | 0.01 | 1.1x | 54 | 43% |
| ADX / DI 방향성 period=26, threshold=21 |
0.8% | -40.0% | 0.13 | 0.02 | 1.1x | 52 | 15% |
| SMA 크로스오버 fast=7, slow=96 |
-0.1% | -59.0% | 0.12 | -0.00 | 1.0x | 76 | 44% |
| ROC 모멘텀 n=50, threshold=0.14 |
0.5% | -51.7% | 0.12 | 0.01 | 1.1x | 132 | 18% |
| Supertrend period=13, mult=5 |
-1.7% | -64.1% | 0.05 | -0.03 | 0.8x | 48 | 42% |
| Parabolic SAR step=0.02, maxStep=0.3 |
-2.5% | -68.8% | 0.04 | -0.04 | 0.7x | 320 | 49% |
| MACD fast=5, slow=48, signal=10 |
-3.3% | -71.6% | 0.01 | -0.05 | 0.6x | 352 | 50% |
| Buy and hold | -1.2% | -73.7% | 0.16 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 92 days
- Sell — Sell when price breaks below the lowest low of the last 23 days