Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Aguas Andinas SA Class A backtest
10 trend-following strategies were compared on the full daily history of Aguas Andinas SA Class A. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.5%, MDD -34.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.0%, drawdown -68.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -34.6%, Sharpe 0.35, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 34.2%p (CAGR 4.5%, MDD -34.6%, exposure 57%).
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=59, slow=171 |
4.5% | -34.6% | 0.35 | 0.13 | 3.2x | 44 | 57% |
| EMA 크로스오버 fast=128, slow=181 |
4.3% | -45.5% | 0.33 | 0.09 | 3.1x | 22 | 66% |
| 볼린저 밴드 돌파 n=55, k=3.4 |
2.1% | -31.4% | 0.28 | 0.07 | 1.8x | 34 | 15% |
| ADX / DI 방향성 period=37, threshold=38 |
0.4% | -4.1% | 0.25 | 0.09 | 1.1x | 2 | 0% |
| Donchian 채널 돌파 entryN=19, exitN=57 |
2.9% | -56.3% | 0.24 | 0.05 | 2.1x | 82 | 75% |
| ROC 모멘텀 n=109, threshold=-0.08 |
0.9% | -69.5% | 0.14 | 0.01 | 1.3x | 160 | 79% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=25, mult=3.5 |
-0.1% | -37.9% | 0.02 | -0.00 | 1.0x | 72 | 7% |
| Supertrend period=7, mult=5 |
-2.9% | -87.6% | -0.09 | -0.03 | 0.5x | 142 | 54% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-3.2% | -87.2% | -0.11 | -0.04 | 0.4x | 191 | 51% |
| MACD fast=15, slow=32, signal=15 |
-6.8% | -87.4% | -0.36 | -0.08 | 0.2x | 366 | 50% |
| Buy and hold | 4.0% | -68.7% | 0.28 | 0.06 | 2.8x | 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 59-day average price crosses above the 171-day average
- Sell — Sell (to cash) when the 59-day average falls below the 171-day average