Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Grupo Herdez SAB de CV backtest
10 trend-following strategies were compared on the full daily history of Grupo Herdez SAB de CV. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -57.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.6%, MDD -53.8%, Sharpe 0.47, 66% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=60, slow=201 |
10.6% | -53.8% | 0.47 | 0.20 | 11.3x | 22 | 66% |
| SMA 크로스오버 fast=30, slow=281 |
10.5% | -48.2% | 0.47 | 0.22 | 11.0x | 26 | 66% |
| ADX / DI 방향성 period=51, threshold=18 |
7.4% | -39.7% | 0.39 | 0.19 | 5.6x | 46 | 38% |
| Donchian 채널 돌파 entryN=62, exitN=179 |
7.6% | -54.4% | 0.38 | 0.14 | 5.8x | 20 | 73% |
| Supertrend period=21, mult=4.5 |
1.7% | -51.7% | 0.22 | 0.03 | 1.5x | 60 | 61% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-0.8% | -67.6% | 0.13 | -0.01 | 0.8x | 166 | 61% |
| ROC 모멘텀 n=132, threshold=-0.03 |
-3.5% | -88.9% | 0.08 | -0.04 | 0.4x | 192 | 69% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=3.1 |
-0.9% | -60.2% | 0.07 | -0.01 | 0.8x | 52 | 24% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
-0.3% | -48.9% | 0.06 | -0.01 | 0.9x | 30 | 10% |
| MACD fast=39, slow=42, signal=28 |
-5.5% | -84.0% | -0.00 | -0.07 | 0.3x | 177 | 51% |
| Buy and hold | 11.3% | -57.9% | 0.46 | 0.20 | 13.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 60-day EMA crosses above the 201-day EMA
- Sell — Sell when the 60-day EMA falls below the 201-day EMA