Trend-Following Backtester · Guide · backtest 한국어
equity · US
Corporacion America Airports SA backtest
10 trend-following strategies were compared on the full daily history of Corporacion America Airports SA. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.7%, MDD -19.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.3%, drawdown -89.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 21.8%, MDD -26.6%, Sharpe 0.82, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 22.3%, MDD -50.5%, exposure 73%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.5%p higher than buy and hold, while drawdown improves by 63.2%p (CAGR 12.7%, MDD -19.7%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=66, slow=251 |
21.8% | -26.6% | 0.82 | 0.82 | 5.4x | 3 | 65% |
| SMA 크로스오버 fast=70, slow=254 |
21.4% | -26.6% | 0.81 | 0.81 | 5.3x | 3 | 64% |
| ROC 모멘텀 n=129, threshold=-0.11 |
22.3% | -50.5% | 0.73 | 0.44 | 5.6x | 30 | 73% |
| ADX / DI 방향성 period=38, threshold=18 |
12.7% | -19.7% | 0.69 | 0.65 | 2.8x | 16 | 26% |
| 볼린저 밴드 돌파 n=18, k=2.6 |
12.8% | -21.2% | 0.63 | 0.60 | 2.8x | 38 | 15% |
| Donchian 채널 돌파 entryN=19, exitN=37 |
15.5% | -52.0% | 0.57 | 0.30 | 3.4x | 26 | 69% |
| MACD fast=8, slow=28, signal=19 |
11.5% | -61.6% | 0.47 | 0.19 | 2.5x | 142 | 47% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=18, mult=1.7 |
9.6% | -35.9% | 0.45 | 0.27 | 2.2x | 40 | 39% |
| Supertrend period=21, mult=3.6 |
9.2% | -46.6% | 0.42 | 0.20 | 2.1x | 30 | 59% |
| Parabolic SAR step=0.04, maxStep=0.06 |
1.8% | -60.5% | 0.21 | 0.03 | 1.2x | 163 | 47% |
| Buy and hold | 4.3% | -89.9% | 0.34 | 0.05 | 1.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 66-day EMA crosses above the 251-day EMA
- Sell — Sell when the 66-day EMA falls below the 251-day EMA