Trend-Following Backtester · Guide · backtest 한국어
equity · CO
Ecopetrol SA backtest
10 trend-following strategies were compared on the full daily history of Ecopetrol SA. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.7%, MDD -11.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.4%, drawdown -84.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.7%, MDD -11.7%, Sharpe 0.52, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.8%, MDD -50.5%, exposure 56%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 73.2%p (CAGR 2.7%, MDD -11.7%, exposure 2%).
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=18, k=3.5 |
2.7% | -11.7% | 0.52 | 0.23 | 1.6x | 6 | 2% |
| Donchian 채널 돌파 entryN=48, exitN=54 |
7.8% | -50.5% | 0.43 | 0.15 | 4.1x | 39 | 56% |
| EMA 크로스오버 fast=25, slow=53 |
5.8% | -57.7% | 0.36 | 0.10 | 2.9x | 71 | 52% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=8, mult=3 |
4.2% | -49.7% | 0.35 | 0.08 | 2.2x | 62 | 20% |
| SMA 크로스오버 fast=35, slow=61 |
5.6% | -54.6% | 0.34 | 0.10 | 2.8x | 91 | 53% |
| ADX / DI 방향성 period=38, threshold=28 |
2.2% | -42.7% | 0.26 | 0.05 | 1.5x | 10 | 13% |
| ROC 모멘텀 n=153, threshold=0.18 |
2.9% | -49.1% | 0.26 | 0.06 | 1.7x | 99 | 24% |
| MACD fast=23, slow=49, signal=18 |
3.3% | -58.9% | 0.25 | 0.06 | 1.8x | 170 | 52% |
| Supertrend period=8, mult=4.8 |
2.8% | -61.9% | 0.23 | 0.05 | 1.7x | 71 | 47% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-3.1% | -71.3% | -0.03 | -0.04 | 0.6x | 295 | 50% |
| Buy and hold | 1.4% | -84.9% | 0.21 | 0.02 | 1.3x | 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 18-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 18-day middle average