Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Banco de Chile backtest
10 trend-following strategies were compared on the full daily history of Banco de Chile. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.3%, drawdown -46.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.0%, MDD -45.1%, Sharpe 0.51, 87% exposure.
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 n=141, threshold=-0.08 |
8.0% | -45.1% | 0.51 | 0.18 | 4.2x | 71 | 87% |
| Donchian 채널 돌파 entryN=95, exitN=102 |
7.2% | -35.1% | 0.50 | 0.21 | 3.7x | 15 | 68% |
| EMA 크로스오버 fast=59, slow=233 |
6.5% | -38.8% | 0.45 | 0.17 | 3.3x | 21 | 74% |
| SMA 크로스오버 fast=54, slow=202 |
5.8% | -43.7% | 0.42 | 0.13 | 2.9x | 29 | 67% |
| Supertrend period=25, mult=4.2 |
1.9% | -43.1% | 0.20 | 0.04 | 1.4x | 61 | 63% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=2.4 |
1.1% | -38.5% | 0.15 | 0.03 | 1.2x | 72 | 33% |
| 볼린저 밴드 돌파 n=52, k=3.1 |
0.8% | -25.9% | 0.13 | 0.03 | 1.2x | 26 | 13% |
| ADX / DI 방향성 period=36, threshold=28 |
0.4% | -10.6% | 0.13 | 0.04 | 1.1x | 6 | 4% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.6% | -77.4% | -0.14 | -0.05 | 0.5x | 155 | 57% |
| MACD fast=20, slow=37, signal=14 |
-4.8% | -75.3% | -0.24 | -0.06 | 0.4x | 248 | 49% |
| Buy and hold | 10.3% | -46.0% | 0.53 | 0.22 | 6.2x | 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 141-day return is greater than -8%
- Sell — Sell when the 141-day return drops to -8% or below