Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Pampa Investments S.A. backtest
10 trend-following strategies were compared on the full daily history of Pampa Investments S.A.. 6 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 15.0%, MDD -41.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.0%, drawdown -89.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.0%, MDD -41.2%, Sharpe 0.71, 35% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 16.0%, MDD -52.5%, exposure 55%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 48.4%p (CAGR 15.0%, MDD -41.2%, exposure 35%).
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=118, exitN=50 |
15.0% | -41.2% | 0.71 | 0.36 | 41.2x | 29 | 35% |
| ROC 모멘텀 n=147, threshold=0.11 |
15.6% | -52.5% | 0.68 | 0.30 | 47.2x | 121 | 39% |
| EMA 크로스오버 fast=49, slow=265 |
16.0% | -52.5% | 0.65 | 0.31 | 51.7x | 29 | 55% |
| SMA 크로스오버 fast=57, slow=213 |
14.8% | -52.5% | 0.64 | 0.28 | 39.6x | 27 | 46% |
| 볼린저 밴드 돌파 n=41, k=3 |
8.8% | -46.7% | 0.54 | 0.19 | 9.5x | 56 | 19% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=9, mult=3.2 |
9.3% | -49.9% | 0.51 | 0.19 | 10.7x | 96 | 32% |
| ADX / DI 방향성 period=30, threshold=21 |
7.6% | -44.7% | 0.50 | 0.17 | 7.0x | 70 | 17% |
| Parabolic SAR step=0.005, maxStep=0.2 |
10.3% | -60.5% | 0.49 | 0.17 | 13.4x | 174 | 49% |
| Supertrend period=22, mult=5 |
7.7% | -64.5% | 0.41 | 0.12 | 7.1x | 126 | 48% |
| MACD fast=13, slow=32, signal=14 |
4.7% | -83.5% | 0.30 | 0.06 | 3.4x | 370 | 50% |
| Buy and hold | 9.0% | -89.6% | 0.42 | 0.10 | 10.0x | 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 118 days
- Sell — Sell when price breaks below the lowest low of the last 50 days