Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Ternium Argentina SA Class A backtest
10 trend-following strategies were compared on the full daily history of Ternium Argentina SA Class A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 33.3%, drawdown -55.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.5%, MDD -59.7%, Sharpe 0.70, 41% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.9%, MDD -54.7%, exposure 85%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=29, slow=205 |
17.5% | -59.7% | 0.70 | 0.29 | 71.9x | 24 | 41% |
| ROC 모멘텀 n=83, threshold=0.08 |
16.0% | -41.6% | 0.69 | 0.38 | 51.8x | 146 | 30% |
| EMA 크로스오버 fast=44, slow=172 |
16.1% | -56.7% | 0.65 | 0.28 | 53.2x | 18 | 48% |
| 볼린저 밴드 돌파 n=8, k=2 |
9.8% | -45.9% | 0.64 | 0.21 | 12.0x | 180 | 12% |
| ADX / DI 방향성 period=14, threshold=23 |
9.6% | -51.5% | 0.56 | 0.19 | 11.4x | 132 | 16% |
| Parabolic SAR step=0.04, maxStep=0.34 |
10.1% | -81.1% | 0.52 | 0.12 | 13.0x | 446 | 27% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=21, mult=2.7 |
7.6% | -57.4% | 0.46 | 0.13 | 7.1x | 56 | 24% |
| MACD fast=19, slow=46, signal=17 |
6.3% | -68.8% | 0.38 | 0.09 | 5.0x | 162 | 38% |
| Donchian 채널 돌파 entryN=101, exitN=88 |
23.9% | -54.7% | 0.34 | 0.44 | 299.1x | 19 | 85% |
| Supertrend period=20, mult=5 |
21.3% | -57.3% | 0.32 | 0.37 | 168.3x | 40 | 82% |
| Buy and hold | 33.3% | -55.4% | 0.41 | 0.60 | 2085.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 29-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 29-day average falls below the 205-day average