Trend-Following Backtester · Guide · backtest 한국어
equity · MX
GCC SAB de CV backtest
10 trend-following strategies were compared on the full daily history of GCC SAB de CV. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.0%, MDD -29.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.9%, drawdown -68.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.9%, MDD -38.6%, Sharpe 0.78, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 16.0%, MDD -29.2%, exposure 62%).
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=41, exitN=60 |
16.9% | -38.6% | 0.78 | 0.44 | 43.0x | 33 | 63% |
| SMA 크로스오버 fast=38, slow=119 |
16.0% | -29.2% | 0.75 | 0.55 | 35.5x | 43 | 62% |
| 볼린저 밴드 돌파 n=49, k=2.7 |
9.4% | -30.4% | 0.69 | 0.31 | 8.7x | 56 | 30% |
| EMA 크로스오버 fast=48, slow=90 |
14.7% | -43.8% | 0.69 | 0.33 | 26.8x | 37 | 63% |
| ADX / DI 방향성 period=35, threshold=17 |
7.6% | -41.3% | 0.66 | 0.18 | 5.8x | 86 | 25% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=23, mult=2.1 |
10.0% | -51.9% | 0.66 | 0.19 | 10.0x | 102 | 40% |
| Supertrend period=8, mult=4.6 |
10.9% | -72.0% | 0.63 | 0.15 | 12.2x | 105 | 59% |
| MACD fast=21, slow=117, signal=37 |
8.0% | -40.7% | 0.49 | 0.20 | 6.3x | 138 | 48% |
| ROC 모멘텀 n=117, threshold=0.07 |
7.6% | -64.0% | 0.45 | 0.12 | 5.9x | 186 | 49% |
| Parabolic SAR step=0.005, maxStep=0.18 |
5.3% | -69.6% | 0.34 | 0.08 | 3.5x | 181 | 56% |
| Buy and hold | 14.9% | -68.7% | 0.60 | 0.22 | 28.3x | 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 41 days
- Sell — Sell when price breaks below the lowest low of the last 60 days