Trend-Following Backtester · Guide · backtest 한국어
equity · CO
Grupo de Inversiones Suramericana S.A. backtest
10 trend-following strategies were compared on the full daily history of Grupo de Inversiones Suramericana S.A.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.5%, MDD -54.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.6%, drawdown -70.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.6%, MDD -60.1%, Sharpe 0.60, 79% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 10.1%p (CAGR 12.5%, MDD -54.9%, exposure 53%).
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=15, exitN=51 |
14.6% | -60.1% | 0.60 | 0.24 | 37.1x | 85 | 79% |
| SMA 크로스오버 fast=19, slow=61 |
12.5% | -54.9% | 0.58 | 0.23 | 23.1x | 107 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=2.6 |
10.7% | -56.7% | 0.57 | 0.19 | 14.8x | 104 | 37% |
| EMA 크로스오버 fast=15, slow=85 |
11.4% | -63.4% | 0.53 | 0.18 | 17.5x | 99 | 56% |
| 볼린저 밴드 돌파 n=55, k=1.8 |
9.3% | -67.5% | 0.52 | 0.14 | 10.6x | 101 | 33% |
| Supertrend period=21, mult=4.9 |
9.6% | -87.0% | 0.51 | 0.11 | 11.4x | 109 | 50% |
| ROC 모멘텀 n=146, threshold=0.08 |
10.0% | -68.0% | 0.51 | 0.15 | 12.5x | 182 | 42% |
| ADX / DI 방향성 period=12, threshold=38 |
6.0% | -41.9% | 0.48 | 0.14 | 4.7x | 116 | 14% |
| Parabolic SAR step=0.01, maxStep=0.22 |
7.3% | -77.5% | 0.41 | 0.09 | 6.5x | 304 | 50% |
| MACD fast=9, slow=45, signal=15 |
5.0% | -83.9% | 0.32 | 0.06 | 3.7x | 392 | 49% |
| Buy and hold | 12.6% | -70.1% | 0.50 | 0.18 | 23.3x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 51 days