Trend-Following Backtester · Guide · backtest 한국어
equity · CO
Corporacion Financiera Colombiana SA backtest
10 trend-following strategies were compared on the full daily history of Corporacion Financiera Colombiana SA. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.1%, MDD -24.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.7%, drawdown -68.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.2%, MDD -24.5%, Sharpe 0.52, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.8%, MDD -52.1%, exposure 72%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 43.8%p (CAGR 3.1%, MDD -24.4%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=29, k=3.5 |
3.2% | -24.5% | 0.52 | 0.13 | 1.8x | 22 | 7% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=3.1 |
3.1% | -24.4% | 0.51 | 0.13 | 1.8x | 28 | 5% |
| ADX / DI 방향성 period=18, threshold=30 |
3.6% | -25.0% | 0.44 | 0.14 | 2.0x | 79 | 15% |
| Supertrend period=29, mult=4.4 |
5.6% | -42.0% | 0.41 | 0.13 | 2.9x | 71 | 58% |
| Donchian 채널 돌파 entryN=28, exitN=65 |
5.8% | -52.1% | 0.39 | 0.11 | 3.0x | 45 | 72% |
| MACD fast=23, slow=33, signal=18 |
4.1% | -50.6% | 0.32 | 0.08 | 2.2x | 201 | 49% |
| EMA 크로스오버 fast=68, slow=151 |
4.2% | -41.7% | 0.32 | 0.10 | 2.2x | 27 | 53% |
| SMA 크로스오버 fast=54, slow=126 |
3.8% | -43.1% | 0.29 | 0.09 | 2.0x | 40 | 52% |
| Parabolic SAR step=0.025, maxStep=0.06 |
3.0% | -46.6% | 0.26 | 0.06 | 1.8x | 269 | 52% |
| ROC 모멘텀 n=87, threshold=0.1 |
1.8% | -33.9% | 0.21 | 0.05 | 1.4x | 139 | 21% |
| Buy and hold | 1.7% | -68.3% | 0.19 | 0.02 | 1.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 29-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 29-day middle average