Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Cresud SA backtest
10 trend-following strategies were compared on the full daily history of Cresud 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 33.4%, drawdown -78.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.6%, MDD -72.6%, Sharpe 0.72, 75% 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=63, exitN=86 |
23.6% | -72.6% | 0.72 | 0.32 | 277.6x | 31 | 75% |
| EMA 크로스오버 fast=18, slow=281 |
22.5% | -58.8% | 0.68 | 0.38 | 221.4x | 43 | 77% |
| SMA 크로스오버 fast=23, slow=152 |
16.9% | -62.8% | 0.60 | 0.27 | 63.3x | 62 | 66% |
| ROC 모멘텀 n=116, threshold=-0.03 |
16.4% | -70.2% | 0.59 | 0.23 | 57.1x | 230 | 71% |
| MACD fast=11, slow=35, signal=14 |
15.2% | -83.6% | 0.58 | 0.18 | 43.4x | 393 | 52% |
| Parabolic SAR step=0.015, maxStep=0.18 |
14.6% | -84.0% | 0.56 | 0.17 | 37.4x | 421 | 53% |
| 볼린저 밴드 돌파 n=38, k=1.2 |
11.5% | -58.0% | 0.50 | 0.20 | 18.0x | 215 | 44% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=22, mult=1.4 |
10.4% | -63.6% | 0.46 | 0.16 | 13.8x | 213 | 51% |
| Supertrend period=12, mult=3.3 |
9.6% | -71.8% | 0.44 | 0.13 | 11.5x | 227 | 55% |
| ADX / DI 방향성 period=28, threshold=22 |
8.2% | -50.1% | 0.43 | 0.16 | 8.1x | 78 | 21% |
| Buy and hold | 33.4% | -78.0% | 0.82 | 0.43 | 2102.2x | 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 63 days
- Sell — Sell when price breaks below the lowest low of the last 86 days