Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tecnoglass Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Tecnoglass Holdings Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.8%, MDD -48.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.0%, drawdown -84.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -55.0%, Sharpe 0.53, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 29.8%p (CAGR 12.8%, MDD -48.4%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=29, slow=102 |
12.9% | -55.0% | 0.53 | 0.23 | 5.6x | 35 | 54% |
| Donchian 채널 돌파 entryN=17, exitN=47 |
12.8% | -48.4% | 0.51 | 0.26 | 5.5x | 36 | 74% |
| Supertrend period=17, mult=4.8 |
10.6% | -62.7% | 0.47 | 0.17 | 4.2x | 50 | 58% |
| ADX / DI 방향성 period=27, threshold=12 |
9.7% | -49.8% | 0.45 | 0.19 | 3.7x | 130 | 53% |
| ROC 모멘텀 n=53, threshold=-0.02 |
9.7% | -55.0% | 0.44 | 0.18 | 3.7x | 189 | 63% |
| EMA 크로스오버 fast=27, slow=48 |
9.0% | -59.6% | 0.43 | 0.15 | 3.4x | 49 | 55% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=17, mult=3.1 |
6.9% | -56.9% | 0.39 | 0.12 | 2.6x | 40 | 31% |
| 볼린저 밴드 돌파 n=46, k=2.2 |
6.3% | -53.7% | 0.36 | 0.12 | 2.4x | 54 | 32% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-2.4% | -77.7% | 0.09 | -0.03 | 0.7x | 240 | 52% |
| MACD fast=18, slow=30, signal=18 |
-4.2% | -77.4% | 0.01 | -0.05 | 0.5x | 202 | 50% |
| Buy and hold | 11.0% | -84.8% | 0.46 | 0.13 | 4.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 29-day average price crosses above the 102-day average
- Sell — Sell (to cash) when the 29-day average falls below the 102-day average