Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Orbia Advance Corp. SAB de CV backtest
10 trend-following strategies were compared on the full daily history of Orbia Advance Corp. SAB de CV. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.7%, MDD -38.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 11.5%, drawdown -84.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.3%, MDD -61.5%, Sharpe 0.72, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 11.7%, MDD -38.3%, exposure 30%).
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=42, slow=205 |
16.3% | -61.5% | 0.72 | 0.27 | 55.4x | 25 | 55% |
| SMA 크로스오버 fast=43, slow=110 |
16.3% | -53.8% | 0.72 | 0.30 | 55.1x | 55 | 57% |
| ROC 모멘텀 n=114, threshold=0.08 |
14.7% | -57.8% | 0.70 | 0.25 | 38.3x | 173 | 41% |
| Donchian 채널 돌파 entryN=106, exitN=36 |
13.7% | -40.6% | 0.69 | 0.34 | 30.4x | 53 | 40% |
| 볼린저 밴드 돌파 n=47, k=2.4 |
11.7% | -38.3% | 0.65 | 0.30 | 18.9x | 81 | 30% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=4 |
10.1% | -40.6% | 0.59 | 0.25 | 13.0x | 58 | 28% |
| Supertrend period=12, mult=4.3 |
8.5% | -79.5% | 0.44 | 0.11 | 8.7x | 117 | 62% |
| ADX / DI 방향성 period=37, threshold=16 |
6.3% | -57.3% | 0.42 | 0.11 | 5.1x | 124 | 25% |
| Parabolic SAR step=0.01, maxStep=0.08 |
5.6% | -75.7% | 0.35 | 0.07 | 4.3x | 287 | 52% |
| MACD fast=21, slow=30, signal=21 |
-0.4% | -77.7% | 0.10 | -0.01 | 0.9x | 289 | 48% |
| Buy and hold | 11.5% | -84.1% | 0.47 | 0.14 | 18.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 205-day EMA
- Sell — Sell when the 42-day EMA falls below the 205-day EMA