Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Bolsas y Mercados Argentinos SA backtest
10 trend-following strategies were compared on the full daily history of Bolsas y Mercados Argentinos SA. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 75.5%, drawdown -55.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 68.1%, MDD -44.6%, Sharpe 1.46, 86% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=75, exitN=125 |
68.1% | -44.6% | 1.46 | 1.53 | 118.0x | 6 | 86% |
| 볼린저 밴드 돌파 n=56, k=1.3 |
50.5% | -39.5% | 1.39 | 1.28 | 42.6x | 44 | 54% |
| ROC 모멘텀 n=160, threshold=0.02 |
59.0% | -44.7% | 1.37 | 1.32 | 70.7x | 36 | 76% |
| SMA 크로스오버 fast=55, slow=163 |
56.2% | -54.2% | 1.33 | 1.04 | 60.1x | 8 | 74% |
| EMA 크로스오버 fast=46, slow=59 |
53.1% | -71.0% | 1.23 | 0.75 | 49.8x | 20 | 78% |
| ADX / DI 방향성 period=19, threshold=18 |
37.1% | -35.3% | 1.15 | 1.05 | 18.1x | 72 | 45% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=29, mult=1.1 |
33.0% | -48.0% | 1.09 | 0.69 | 13.7x | 88 | 45% |
| Supertrend period=13, mult=4.1 |
39.7% | -60.4% | 1.07 | 0.66 | 21.5x | 30 | 67% |
| MACD fast=14, slow=49, signal=10 |
30.6% | -58.6% | 1.00 | 0.52 | 11.6x | 120 | 47% |
| Parabolic SAR step=0.03, maxStep=0.18 |
24.1% | -47.6% | 0.81 | 0.51 | 7.3x | 239 | 55% |
| Buy and hold | 75.5% | -55.2% | 1.43 | 1.37 | 174.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 75 days
- Sell — Sell when price breaks below the lowest low of the last 125 days