Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Banco Santander-Chile backtest
10 trend-following strategies were compared on the full daily history of Banco Santander-Chile. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.0%, drawdown -99.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.9%, MDD -99.1%, Sharpe 0.28, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: SMA 크로스오버 — CAGR 7.0%, MDD -99.0%, exposure 55%.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.1 |
6.9% | -99.1% | 0.28 | 0.07 | 5.5x | 31 | 99% |
| SMA 크로스오버 fast=77, slow=270 |
7.0% | -99.0% | 0.28 | 0.07 | 5.7x | 19 | 55% |
| Donchian 채널 돌파 entryN=148, exitN=95 |
-13.3% | -99.6% | 0.20 | -0.13 | 0.0x | 18 | 52% |
| EMA 크로스오버 fast=54, slow=188 |
-15.0% | -99.6% | 0.20 | -0.15 | 0.0x | 35 | 57% |
| MACD fast=23, slow=52, signal=13 |
-22.8% | -100.0% | 0.19 | -0.23 | 0.0x | 299 | 49% |
| Supertrend period=9, mult=2.2 |
-24.3% | -100.0% | 0.19 | -0.24 | 0.0x | 291 | 50% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-28.0% | -100.0% | 0.19 | -0.28 | 0.0x | 533 | 51% |
| ADX / DI 방향성 period=25, threshold=39 |
-0.3% | -10.9% | -0.13 | -0.03 | 0.9x | 2 | 0% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
-18.3% | -99.5% | -0.18 | -0.18 | 0.0x | 4 | 0% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=14, mult=4 |
-34.1% | -100.0% | -0.25 | -0.34 | 0.0x | 64 | 23% |
| Buy and hold | 8.0% | -99.2% | 0.28 | 0.08 | 7.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than -10%
- Sell — Sell when the 4-day return drops to -10% or below