Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Empresas Copec S.A. backtest
10 trend-following strategies were compared on the full daily history of Empresas Copec S.A.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 3.6%, drawdown -60.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.5%, MDD -19.3%, Sharpe 0.39, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.9%, MDD -52.1%, exposure 55%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=26 |
1.5% | -19.3% | 0.39 | 0.08 | 1.5x | 12 | 3% |
| SMA 크로스오버 fast=59, slow=245 |
3.9% | -52.1% | 0.31 | 0.07 | 2.8x | 26 | 55% |
| Donchian 채널 돌파 entryN=116, exitN=55 |
2.7% | -39.5% | 0.25 | 0.07 | 2.0x | 36 | 41% |
| EMA 크로스오버 fast=34, slow=217 |
1.5% | -59.1% | 0.17 | 0.03 | 1.5x | 42 | 56% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=28, mult=3.4 |
0.7% | -15.1% | 0.17 | 0.05 | 1.2x | 32 | 4% |
| 볼린저 밴드 돌파 n=52, k=3.5 |
0.6% | -23.1% | 0.13 | 0.02 | 1.2x | 16 | 6% |
| ROC 모멘텀 n=119, threshold=-0.04 |
-0.9% | -75.3% | 0.05 | -0.01 | 0.8x | 224 | 66% |
| Supertrend period=21, mult=3.3 |
-1.5% | -63.5% | 0.01 | -0.02 | 0.7x | 164 | 55% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.6% | -74.5% | -0.05 | -0.03 | 0.5x | 213 | 55% |
| MACD fast=16, slow=17, signal=13 |
-6.5% | -91.1% | -0.29 | -0.07 | 0.2x | 477 | 50% |
| Buy and hold | 3.6% | -60.9% | 0.27 | 0.06 | 2.6x | 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, 36-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)