Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Cencosud Shopping SA backtest
10 trend-following strategies were compared on the full daily history of Cencosud Shopping SA. 4 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 6.9%, MDD -13.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.1%, drawdown -61.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.9%, MDD -13.7%, Sharpe 0.66, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.2%, MDD -25.6%, exposure 57%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 6.9%, MDD -13.7%, 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=8, threshold=38 |
6.9% | -13.7% | 0.66 | 0.51 | 1.6x | 52 | 12% |
| SMA 크로스오버 fast=14, slow=275 |
11.2% | -25.6% | 0.57 | 0.44 | 2.1x | 6 | 57% |
| Donchian 채널 돌파 entryN=95, exitN=60 |
7.5% | -27.4% | 0.46 | 0.27 | 1.7x | 6 | 41% |
| EMA 크로스오버 fast=14, slow=206 |
7.7% | -28.1% | 0.43 | 0.27 | 1.7x | 10 | 57% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
2.1% | -7.3% | 0.36 | 0.29 | 1.2x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=26, mult=1.9 |
2.8% | -17.5% | 0.35 | 0.16 | 1.2x | 16 | 7% |
| ROC 모멘텀 n=139, threshold=-0.04 |
4.2% | -45.7% | 0.29 | 0.09 | 1.3x | 42 | 67% |
| Supertrend period=29, mult=4.3 |
2.3% | -41.4% | 0.22 | 0.06 | 1.2x | 20 | 65% |
| MACD fast=19, slow=38, signal=6 |
0.6% | -59.9% | 0.14 | 0.01 | 1.0x | 113 | 49% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-3.2% | -56.1% | -0.01 | -0.06 | 0.8x | 156 | 50% |
| Buy and hold | 5.1% | -61.7% | 0.32 | 0.08 | 1.4x | 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, 8-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)