Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Transportadora de Gas del Sur SA Class B backtest
10 trend-following strategies were compared on the full daily history of Transportadora de Gas del Sur SA Class B. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 41.7%, MDD -51.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 38.4%, drawdown -79.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 41.7%, MDD -51.2%, Sharpe 1.05, 72% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 41.7%, MDD -51.2%, exposure 72%).
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=48, slow=209 |
41.7% | -51.2% | 1.05 | 0.82 | 10592.0x | 13 | 72% |
| SMA 크로스오버 fast=46, slow=182 |
37.3% | -56.7% | 0.98 | 0.66 | 4566.5x | 21 | 69% |
| Donchian 채널 돌파 entryN=73, exitN=95 |
35.2% | -58.3% | 0.92 | 0.60 | 3033.6x | 23 | 74% |
| ROC 모멘텀 n=148, threshold=-0.04 |
30.7% | -64.9% | 0.85 | 0.47 | 1229.8x | 147 | 73% |
| MACD fast=13, slow=16, signal=12 |
18.0% | -64.1% | 0.65 | 0.28 | 81.8x | 478 | 52% |
| Supertrend period=20, mult=5 |
15.9% | -81.1% | 0.59 | 0.20 | 50.1x | 107 | 56% |
| Parabolic SAR step=0.015, maxStep=0.08 |
13.2% | -76.9% | 0.53 | 0.17 | 26.9x | 407 | 55% |
| ADX / DI 방향성 period=10, threshold=13 |
11.7% | -69.8% | 0.49 | 0.17 | 19.1x | 585 | 52% |
| 볼린저 밴드 돌파 n=49, k=2.4 |
10.6% | -53.5% | 0.49 | 0.20 | 14.7x | 106 | 32% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=17, mult=3.3 |
8.9% | -47.3% | 0.45 | 0.19 | 9.5x | 104 | 29% |
| Buy and hold | 38.4% | -79.7% | 0.91 | 0.48 | 5612.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 209-day EMA
- Sell — Sell when the 48-day EMA falls below the 209-day EMA