Trend-Following Backtester · Guide · backtest 한국어
equity · AR
A3 Mercados SA backtest
10 trend-following strategies were compared on the full daily history of A3 Mercados SA. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 22.7%, MDD -18.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -32.3%, drawdown -100.0%).
Sharpe leader (same as main): MACD — CAGR 22.7%, MDD -18.5%, Sharpe 0.51, 45% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 33.4%, MDD -21.9%, exposure 40%.
Return/drawdown alternative: MACD — CAGR is 55.0%p higher than buy and hold, while drawdown improves by 81.5%p (CAGR 22.7%, MDD -18.5%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=17, slow=43, signal=10 |
22.7% | -18.5% | 0.51 | 1.23 | 17.3x | 13 | 45% |
| SMA 크로스오버 fast=16, slow=92 |
20.1% | -21.9% | 0.48 | 0.92 | 12.8x | 6 | 15% |
| ROC 모멘텀 n=109, threshold=0.1 |
19.0% | -25.8% | 0.46 | 0.74 | 11.3x | 10 | 16% |
| 볼린저 밴드 돌파 n=52, k=1.7 |
19.1% | -22.9% | 0.46 | 0.83 | 11.5x | 8 | 11% |
| Donchian 채널 돌파 entryN=44, exitN=51 |
-32.2% | -100.0% | 0.41 | -0.32 | 0.0x | 7 | 94% |
| ADX / DI 방향성 period=39, threshold=20 |
33.4% | -21.9% | 0.38 | 1.52 | 55.1x | 2 | 40% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=8, mult=3.1 |
32.5% | -21.9% | 0.38 | 1.48 | 50.2x | 2 | 41% |
| EMA 크로스오버 fast=40, slow=76 |
31.3% | -25.8% | 0.38 | 1.21 | 44.2x | 2 | 42% |
| Supertrend period=11, mult=4.3 |
-38.7% | -100.0% | 0.35 | -0.39 | 0.0x | 4 | 80% |
| Parabolic SAR step=0.05, maxStep=0.36 |
-38.6% | -100.0% | 0.35 | -0.39 | 0.0x | 24 | 56% |
| Buy and hold | -32.3% | -100.0% | 0.41 | -0.32 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (17/43) crosses above its 10-day signal line
- Sell — Sell when the MACD line crosses back below the signal line