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. 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 33.6%, drawdown -73.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 25.0%, MDD -81.6%, Sharpe 0.80, 69% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 30.5%, MDD -59.2%, exposure 70%.
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=48, slow=212 |
25.0% | -81.6% | 0.80 | 0.31 | 386.6x | 23 | 69% |
| ROC 모멘텀 n=145, threshold=0.11 |
22.2% | -71.4% | 0.78 | 0.31 | 210.1x | 209 | 53% |
| Parabolic SAR step=0.01, maxStep=0.16 |
20.5% | -62.6% | 0.76 | 0.33 | 144.5x | 327 | 53% |
| Donchian 채널 돌파 entryN=46, exitN=61 |
30.5% | -59.2% | 0.74 | 0.51 | 1199.6x | 53 | 70% |
| SMA 크로스오버 fast=28, slow=193 |
21.2% | -82.4% | 0.72 | 0.26 | 167.0x | 43 | 65% |
| 볼린저 밴드 돌파 n=12, k=1.7 |
12.9% | -71.1% | 0.60 | 0.18 | 25.6x | 417 | 35% |
| Supertrend period=25, mult=4.9 |
14.4% | -58.7% | 0.60 | 0.25 | 36.3x | 128 | 53% |
| MACD fast=7, slow=36, signal=13 |
19.7% | -75.1% | 0.57 | 0.26 | 121.9x | 475 | 51% |
| ADX / DI 방향성 period=39, threshold=9 |
12.3% | -66.0% | 0.55 | 0.19 | 21.9x | 225 | 44% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=24, mult=2.1 |
10.5% | -69.4% | 0.50 | 0.15 | 14.3x | 167 | 42% |
| Buy and hold | 33.6% | -73.0% | 0.75 | 0.46 | 2275.3x | 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 212-day EMA
- Sell — Sell when the 48-day EMA falls below the 212-day EMA