Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Pena Verde SAB backtest
10 trend-following strategies were compared on the full daily history of Pena Verde SAB. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 3.9%, MDD -7.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.4%, drawdown -42.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.9%, MDD -2.5%, Sharpe 0.54, 3% exposure.
CAGR reference leader: Parabolic SAR — CAGR 3.9%, MDD -7.4%, exposure 39%.
Return/drawdown alternative: Parabolic SAR — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 39.6%p (CAGR 3.9%, MDD -7.4%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=36, threshold=0.09 |
0.9% | -2.5% | 0.54 | 0.38 | 1.1x | 6 | 3% |
| Parabolic SAR step=0.03, maxStep=0.24 |
3.9% | -7.4% | 0.48 | 0.53 | 1.6x | 29 | 39% |
| 볼린저 밴드 돌파 n=13, k=3.1 |
1.1% | -11.9% | 0.35 | 0.09 | 1.1x | 15 | 16% |
| Supertrend period=8, mult=2.8 |
2.3% | -20.3% | 0.30 | 0.12 | 1.3x | 44 | 36% |
| EMA 크로스오버 fast=40, slow=55 |
1.0% | -12.1% | 0.26 | 0.09 | 1.1x | 15 | 57% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=24, mult=3.8 |
0.8% | -14.9% | 0.25 | 0.05 | 1.1x | 21 | 27% |
| SMA 크로스오버 fast=37, slow=178 |
0.8% | -7.8% | 0.22 | 0.11 | 1.1x | 11 | 34% |
| ADX / DI 방향성 period=16, threshold=36 |
0.6% | -13.1% | 0.22 | 0.05 | 1.1x | 23 | 20% |
| Donchian 채널 돌파 Hold-like · Exposure 96% entryN=17, exitN=105 |
1.0% | -39.0% | 0.15 | 0.03 | 1.1x | 15 | 96% |
| MACD fast=17, slow=45, signal=14 |
-2.3% | -44.3% | -0.12 | -0.05 | 0.7x | 44 | 39% |
| Buy and hold | 1.4% | -42.1% | 0.18 | 0.03 | 1.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 36-day return is greater than 9%
- Sell — Sell when the 36-day return drops to 9% or below