Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Banco Macro SA Class B backtest
10 trend-following strategies were compared on the full daily history of Banco Macro SA Class B. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 38.7%, MDD -53.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 38.4%, drawdown -88.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 38.7%, MDD -53.8%, Sharpe 0.96, 67% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 38.7%, MDD -53.8%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=159, threshold=0.03 |
38.7% | -53.8% | 0.96 | 0.72 | 6185.6x | 110 | 67% |
| Donchian 채널 돌파 entryN=113, exitN=94 |
37.2% | -72.7% | 0.92 | 0.51 | 4548.5x | 23 | 67% |
| EMA 크로스오버 fast=48, slow=212 |
36.1% | -81.0% | 0.91 | 0.45 | 3685.7x | 19 | 71% |
| SMA 크로스오버 fast=42, slow=154 |
36.2% | -75.1% | 0.90 | 0.48 | 3747.1x | 35 | 64% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=10, mult=1.4 |
24.4% | -70.6% | 0.75 | 0.35 | 335.3x | 148 | 53% |
| 볼린저 밴드 돌파 n=55, k=1.9 |
22.3% | -63.1% | 0.74 | 0.35 | 212.9x | 106 | 42% |
| Supertrend period=19, mult=1.7 |
24.3% | -62.4% | 0.74 | 0.39 | 329.7x | 422 | 55% |
| Parabolic SAR step=0.02, maxStep=0.12 |
21.8% | -65.6% | 0.69 | 0.33 | 190.7x | 513 | 54% |
| MACD fast=7, slow=38, signal=6 |
21.1% | -79.6% | 0.68 | 0.27 | 164.7x | 639 | 52% |
| ADX / DI 방향성 period=19, threshold=8 |
19.9% | -79.2% | 0.66 | 0.25 | 127.3x | 396 | 51% |
| Buy and hold | 38.4% | -88.7% | 0.86 | 0.43 | 5753.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 159-day return is greater than 3%
- Sell — Sell when the 159-day return drops to 3% or below