Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Tres Tentos Agroindustrial SA backtest
10 trend-following strategies were compared on the full daily history of Tres Tentos Agroindustrial SA. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.9%, MDD -13.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR -0.2%, drawdown -43.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.9%, MDD -13.5%, Sharpe 0.57, 12% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 29.8%p (CAGR 7.9%, MDD -13.5%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=9, threshold=38 |
7.9% | -13.5% | 0.57 | 0.59 | 1.5x | 26 | 12% |
| 볼린저 밴드 돌파 n=19, k=2.2 |
2.2% | -21.6% | 0.21 | 0.10 | 1.1x | 36 | 22% |
| Donchian 채널 돌파 entryN=18, exitN=75 |
-0.8% | -42.5% | 0.15 | -0.02 | 1.0x | 12 | 81% |
| EMA 크로스오버 fast=8, slow=99 |
0.2% | -34.3% | 0.14 | 0.01 | 1.0x | 24 | 51% |
| ROC 모멘텀 n=143, threshold=0.02 |
-0.4% | -43.8% | 0.12 | -0.01 | 1.0x | 46 | 48% |
| SMA 크로스오버 fast=23, slow=190 |
-0.9% | -40.0% | 0.10 | -0.02 | 1.0x | 8 | 52% |
| Parabolic SAR step=0.025, maxStep=0.3 |
-1.2% | -48.0% | 0.10 | -0.03 | 0.9x | 124 | 49% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=15, mult=1.9 |
-1.6% | -35.0% | 0.03 | -0.05 | 0.9x | 26 | 28% |
| MACD fast=11, slow=23, signal=15 |
-3.4% | -44.5% | 0.03 | -0.08 | 0.8x | 86 | 49% |
| Supertrend period=26, mult=4.1 |
-4.4% | -38.2% | -0.01 | -0.12 | 0.8x | 20 | 45% |
| Buy and hold | -0.2% | -43.3% | 0.20 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 9-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)