Trend-Following Backtester · Guide · backtest 한국어
equity · AR
YPF SA Class D backtest
10 trend-following strategies were compared on the full daily history of YPF SA Class D. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 25.8%, MDD -59.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 22.7%, drawdown -95.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.8%, MDD -59.2%, Sharpe 0.82, 70% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 36.7%p (CAGR 25.8%, MDD -59.2%, exposure 70%).
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=46, exitN=61 |
25.8% | -59.2% | 0.82 | 0.44 | 445.0x | 53 | 70% |
| ROC 모멘텀 n=145, threshold=0.11 |
22.5% | -71.4% | 0.80 | 0.31 | 218.1x | 209 | 51% |
| EMA 크로스오버 fast=48, slow=212 |
23.8% | -81.6% | 0.78 | 0.29 | 290.4x | 23 | 64% |
| Parabolic SAR step=0.01, maxStep=0.16 |
20.8% | -62.6% | 0.77 | 0.33 | 150.4x | 325 | 53% |
| SMA 크로스오버 fast=28, slow=193 |
21.4% | -82.4% | 0.74 | 0.26 | 171.4x | 43 | 62% |
| Supertrend period=25, mult=4.9 |
15.1% | -58.7% | 0.61 | 0.26 | 41.6x | 126 | 54% |
| 볼린저 밴드 돌파 n=12, k=1.7 |
12.9% | -71.1% | 0.60 | 0.18 | 25.4x | 416 | 35% |
| ADX / DI 방향성 period=39, threshold=9 |
12.4% | -66.0% | 0.56 | 0.19 | 22.2x | 225 | 43% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=24, mult=2.1 |
10.4% | -69.4% | 0.50 | 0.15 | 13.9x | 167 | 42% |
| MACD fast=7, slow=36, signal=13 |
10.8% | -94.4% | 0.48 | 0.11 | 15.1x | 475 | 51% |
| Buy and hold | 22.7% | -95.9% | 0.66 | 0.24 | 228.5x | 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 46 days
- Sell — Sell when price breaks below the lowest low of the last 61 days