Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Pampa Energia SA backtest
10 trend-following strategies were compared on the full daily history of Pampa Energia SA. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 57.1%, drawdown -75.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 55.0%, MDD -74.5%, Sharpe 0.79, 73% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=34, slow=195 |
55.0% | -74.5% | 0.79 | 0.74 | 19789.3x | 19 | 73% |
| SMA 크로스오버 fast=24, slow=186 |
51.9% | -76.3% | 0.76 | 0.68 | 12417.0x | 33 | 71% |
| ROC 모멘텀 n=167, threshold=0.04 |
50.0% | -70.0% | 0.75 | 0.71 | 9356.1x | 98 | 70% |
| Donchian 채널 돌파 entryN=46, exitN=72 |
49.1% | -70.0% | 0.72 | 0.70 | 8220.7x | 43 | 68% |
| ADX / DI 방향성 period=56, threshold=8 |
36.5% | -70.1% | 0.63 | 0.52 | 1118.8x | 136 | 61% |
| MACD fast=12, slow=31, signal=14 |
22.0% | -73.3% | 0.60 | 0.30 | 89.3x | 303 | 51% |
| Supertrend period=27, mult=4.8 |
29.9% | -77.8% | 0.55 | 0.38 | 365.4x | 89 | 58% |
| 볼린저 밴드 돌파 n=49, k=2 |
25.8% | -64.2% | 0.50 | 0.40 | 177.7x | 103 | 42% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=15, mult=2.5 |
23.2% | -68.2% | 0.48 | 0.34 | 110.2x | 107 | 43% |
| Parabolic SAR step=0.005, maxStep=0.18 |
22.0% | -79.5% | 0.47 | 0.28 | 89.4x | 185 | 56% |
| Buy and hold | 57.1% | -75.4% | 0.79 | 0.76 | 26744.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 34-day EMA crosses above the 195-day EMA
- Sell — Sell when the 34-day EMA falls below the 195-day EMA