Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Becle, S.A.B. de C.V. backtest
10 trend-following strategies were compared on the full daily history of Becle, S.A.B. de C.V.. 10 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 4.5%, MDD -16.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.3%, drawdown -75.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -16.0%, Sharpe 0.50, 11% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 59.3%p (CAGR 4.5%, MDD -16.0%, exposure 11%).
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=16, k=2.8 |
4.5% | -16.0% | 0.50 | 0.28 | 1.5x | 28 | 11% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=11, mult=2.1 |
2.1% | -17.8% | 0.28 | 0.12 | 1.2x | 20 | 9% |
| MACD fast=9, slow=54, signal=22 |
1.9% | -33.6% | 0.20 | 0.06 | 1.2x | 101 | 48% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-1.7% | -52.5% | 0.03 | -0.03 | 0.8x | 199 | 50% |
| Supertrend period=22, mult=4.1 |
-2.0% | -40.1% | 0.00 | -0.05 | 0.8x | 31 | 51% |
| Donchian 채널 돌파 entryN=12, exitN=19 |
-2.4% | -55.0% | -0.01 | -0.04 | 0.8x | 61 | 55% |
| ADX / DI 방향성 period=14, threshold=26 |
-1.9% | -29.8% | -0.07 | -0.06 | 0.8x | 72 | 23% |
| SMA 크로스오버 fast=57, slow=197 |
-3.6% | -60.3% | -0.09 | -0.06 | 0.7x | 14 | 43% |
| EMA 크로스오버 fast=59, slow=160 |
-2.8% | -41.5% | -0.09 | -0.07 | 0.8x | 12 | 38% |
| ROC 모멘텀 n=35, threshold=-0.04 |
-4.7% | -55.0% | -0.11 | -0.09 | 0.6x | 129 | 61% |
| Buy and hold | -8.3% | -75.3% | -0.15 | -0.11 | 0.4x | 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 16-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 16-day middle average