Trend-Following Backtester · Guide · backtest 한국어
etf · CL
Fondo de Inversion Independencia Rentas Inmobiliarias Cuotas backtest
10 trend-following strategies were compared on the full daily history of Fondo de Inversion Independencia Rentas Inmobiliarias Cuotas. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.0%, MDD -22.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.0%, drawdown -96.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.0%, MDD -22.5%, Sharpe 0.81, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 73.7%p (CAGR 7.0%, MDD -22.5%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=6, slow=178 |
7.0% | -22.5% | 0.81 | 0.31 | 3.6x | 17 | 62% |
| SMA 크로스오버 fast=22, slow=50 |
7.0% | -31.5% | 0.77 | 0.22 | 3.5x | 60 | 62% |
| Donchian 채널 돌파 entryN=54, exitN=38 |
6.1% | -23.4% | 0.74 | 0.26 | 3.0x | 32 | 58% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=23, mult=3.7 |
5.5% | -23.4% | 0.71 | 0.23 | 2.7x | 34 | 48% |
| 볼린저 밴드 돌파 n=57, k=1.8 |
4.6% | -37.0% | 0.58 | 0.12 | 2.3x | 40 | 48% |
| Parabolic SAR step=0.005, maxStep=0.1 |
4.9% | -52.6% | 0.55 | 0.09 | 2.4x | 76 | 61% |
| ADX / DI 방향성 period=23, threshold=19 |
3.2% | -23.8% | 0.46 | 0.13 | 1.8x | 74 | 42% |
| ROC 모멘텀 n=103, threshold=-0.01 |
3.6% | -37.3% | 0.43 | 0.10 | 1.9x | 78 | 67% |
| Supertrend period=12, mult=4.7 |
3.5% | -57.8% | 0.42 | 0.06 | 1.9x | 70 | 61% |
| MACD fast=15, slow=36, signal=13 |
2.1% | -33.6% | 0.26 | 0.06 | 1.5x | 147 | 50% |
| Buy and hold | -6.0% | -96.3% | 0.13 | -0.06 | 0.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 6-day EMA crosses above the 178-day EMA
- Sell — Sell when the 6-day EMA falls below the 178-day EMA