Trend-Following Backtester · Guide · backtest 한국어
equity · CO
Banco de Bogota SA backtest
10 trend-following strategies were compared on the full daily history of Banco de Bogota SA. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR 8.1%, drawdown -90.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -5.8%, Sharpe 0.30, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.8%, MDD -90.3%, exposure 56%.
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=57, threshold=41 |
0.8% | -5.8% | 0.30 | 0.13 | 1.2x | 2 | 2% |
| Donchian 채널 돌파 entryN=23, exitN=69 |
10.6% | -90.1% | 0.24 | 0.12 | 14.5x | 57 | 77% |
| SMA 크로스오버 fast=10, slow=56 |
10.8% | -90.3% | 0.24 | 0.12 | 15.4x | 142 | 56% |
| EMA 크로스오버 fast=19, slow=25 |
9.9% | -90.1% | 0.23 | 0.11 | 12.2x | 156 | 56% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=18, mult=3.1 |
9.7% | -89.9% | 0.23 | 0.11 | 11.6x | 80 | 44% |
| ROC 모멘텀 n=27, threshold=-0.08 |
6.8% | -90.2% | 0.22 | 0.08 | 5.7x | 181 | 89% |
| 볼린저 밴드 돌파 n=43, k=1.3 |
6.9% | -90.4% | 0.22 | 0.08 | 5.9x | 172 | 43% |
| Supertrend period=25, mult=3.5 |
-2.6% | -90.2% | 0.17 | -0.03 | 0.5x | 187 | 58% |
| MACD fast=13, slow=51, signal=16 |
-4.9% | -90.8% | 0.07 | -0.05 | 0.3x | 334 | 49% |
| Parabolic SAR step=0.03, maxStep=0.26 |
-7.7% | -94.5% | -0.04 | -0.08 | 0.1x | 556 | 54% |
| Buy and hold | 8.1% | -90.1% | 0.23 | 0.09 | 7.9x | 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, 57-day) is ≥ 41
- Sell — Sell when direction flips or the trend weakens (ADX < 41)