Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Falabella S.A. backtest
10 trend-following strategies were compared on the full daily history of Falabella S.A.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.2%, MDD -30.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.0%, drawdown -76.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -37.3%, Sharpe 0.73, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 10.2%, MDD -30.8%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=199 |
12.7% | -37.3% | 0.73 | 0.34 | 24.0x | 30 | 59% |
| Donchian 채널 돌파 entryN=109, exitN=44 |
10.2% | -30.8% | 0.70 | 0.33 | 13.2x | 32 | 42% |
| ROC 모멘텀 n=152, threshold=0.21 |
8.6% | -36.6% | 0.67 | 0.24 | 9.0x | 108 | 24% |
| 볼린저 밴드 돌파 n=73, k=2.8 |
6.9% | -30.9% | 0.58 | 0.22 | 5.8x | 40 | 25% |
| EMA 크로스오버 fast=43, slow=128 |
9.2% | -44.9% | 0.57 | 0.21 | 10.4x | 46 | 59% |
| Supertrend period=37, mult=4.8 |
7.4% | -49.9% | 0.47 | 0.15 | 6.6x | 90 | 56% |
| ADX / DI 방향성 period=36, threshold=30 |
1.9% | -23.9% | 0.32 | 0.08 | 1.7x | 10 | 4% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=1.6 |
2.6% | -67.4% | 0.24 | 0.04 | 2.0x | 166 | 45% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.7% | -69.2% | 0.19 | 0.03 | 1.6x | 211 | 55% |
| MACD fast=15, slow=24, signal=18 |
0.7% | -69.3% | 0.13 | 0.01 | 1.2x | 358 | 48% |
| Buy and hold | 9.0% | -76.6% | 0.45 | 0.12 | 9.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 199-day average
- Sell — Sell (to cash) when the 51-day average falls below the 199-day average