Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Cencosud S.A. backtest
10 trend-following strategies were compared on the full daily history of Cencosud S.A.. 7 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 6.4%, MDD -25.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.9%, drawdown -84.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.4%, MDD -25.2%, Sharpe 0.62, 22% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.1%, MDD -29.6%, exposure 39%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 58.8%p (CAGR 6.4%, MDD -25.2%, exposure 22%).
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=47, threshold=15 |
6.4% | -25.2% | 0.62 | 0.25 | 5.2x | 64 | 22% |
| Donchian 채널 돌파 entryN=142, exitN=36 |
9.1% | -29.6% | 0.61 | 0.31 | 10.2x | 28 | 39% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=24, mult=4 |
5.3% | -33.0% | 0.57 | 0.16 | 3.9x | 34 | 18% |
| EMA 크로스오버 fast=56, slow=188 |
8.0% | -51.3% | 0.52 | 0.16 | 7.8x | 18 | 47% |
| 볼린저 밴드 돌파 n=43, k=2.9 |
4.6% | -27.5% | 0.50 | 0.17 | 3.3x | 38 | 16% |
| SMA 크로스오버 fast=11, slow=198 |
6.4% | -65.5% | 0.44 | 0.10 | 5.2x | 58 | 45% |
| ROC 모멘텀 n=149, threshold=0.12 |
5.4% | -37.3% | 0.44 | 0.14 | 4.0x | 142 | 32% |
| Supertrend period=4, mult=3.4 |
5.3% | -59.3% | 0.39 | 0.09 | 3.9x | 114 | 44% |
| MACD fast=19, slow=35, signal=15 |
-1.2% | -69.6% | 0.04 | -0.02 | 0.7x | 284 | 56% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-1.0% | -69.4% | 0.03 | -0.01 | 0.8x | 390 | 45% |
| Buy and hold | 4.9% | -84.0% | 0.30 | 0.06 | 3.5x | 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, 47-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)