Trend-Following Backtester · Guide · backtest 한국어
etf · CL
Toesca Rentas Inmobiliarias Fondo de Inversion 2017-30.04.24 Series C backtest
10 trend-following strategies were compared on the full daily history of Toesca Rentas Inmobiliarias Fondo de Inversion 2017-30.04.24 Series C. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.5%, MDD -7.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.5%, drawdown -65.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.5%, MDD -7.5%, Sharpe 0.38, 36% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 57.7%p (CAGR 2.5%, MDD -7.5%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=137, exitN=55 |
2.5% | -7.5% | 0.38 | 0.33 | 1.2x | 11 | 36% |
| SMA 크로스오버 fast=30, slow=85 |
0.6% | -32.0% | 0.11 | 0.02 | 1.1x | 24 | 44% |
| 볼린저 밴드 돌파 n=46, k=2.5 |
0.1% | -24.7% | 0.06 | 0.00 | 1.0x | 16 | 27% |
| ADX / DI 방향성 period=26, threshold=12 |
0.0% | -25.4% | 0.05 | 0.00 | 1.0x | 40 | 41% |
| EMA 크로스오버 fast=9, slow=117 |
-0.8% | -34.2% | -0.03 | -0.02 | 0.9x | 11 | 55% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-1.6% | -37.4% | -0.10 | -0.04 | 0.9x | 36 | 51% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=23, mult=1.1 |
-2.3% | -41.2% | -0.15 | -0.06 | 0.8x | 20 | 46% |
| ROC 모멘텀 n=119, threshold=0.01 |
-2.5% | -39.3% | -0.17 | -0.06 | 0.8x | 18 | 41% |
| MACD fast=18, slow=28, signal=15 |
-3.4% | -42.2% | -0.22 | -0.08 | 0.7x | 53 | 55% |
| Supertrend period=15, mult=5 |
-6.6% | -55.4% | -0.39 | -0.12 | 0.6x | 35 | 62% |
| Buy and hold | -5.5% | -65.2% | -0.19 | -0.08 | 0.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 137 days
- Sell — Sell when price breaks below the lowest low of the last 55 days