Trend-Following Backtester · Guide · backtest 한국어
equity · US
Globant S.A. backtest
10 trend-following strategies were compared on the full daily history of Globant S.A.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.1%, MDD -40.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.3%, drawdown -92.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 19.5%, MDD -53.2%, Sharpe 0.68, 64% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 12.1%, MDD -40.5%, exposure 59%).
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=75, slow=148 |
19.5% | -53.2% | 0.68 | 0.37 | 8.6x | 10 | 64% |
| Supertrend period=13, mult=5 |
15.3% | -63.5% | 0.60 | 0.24 | 5.6x | 32 | 61% |
| SMA 크로스오버 fast=7, slow=202 |
13.8% | -52.6% | 0.56 | 0.26 | 4.7x | 26 | 57% |
| ROC 모멘텀 n=147, threshold=-0.03 |
13.5% | -67.2% | 0.54 | 0.20 | 4.6x | 64 | 63% |
| Donchian 채널 돌파 entryN=74, exitN=79 |
12.1% | -40.5% | 0.52 | 0.30 | 3.9x | 16 | 59% |
| 볼린저 밴드 돌파 n=51, k=3.4 |
4.4% | -20.2% | 0.40 | 0.22 | 1.7x | 10 | 8% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=2.7 |
5.1% | -51.5% | 0.33 | 0.10 | 1.8x | 50 | 37% |
| ADX / DI 방향성 period=22, threshold=20 |
4.0% | -50.1% | 0.29 | 0.08 | 1.6x | 76 | 26% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-3.3% | -88.2% | 0.06 | -0.04 | 0.7x | 219 | 53% |
| MACD fast=22, slow=51, signal=27 |
-5.0% | -90.9% | 0.01 | -0.05 | 0.5x | 109 | 53% |
| Buy and hold | 10.3% | -92.2% | 0.45 | 0.11 | 3.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 75-day EMA crosses above the 148-day EMA
- Sell — Sell when the 75-day EMA falls below the 148-day EMA