Trend-Following Backtester · Guide · backtest 한국어
equity · MX
Wal-Mart de Mexico SAB de CV backtest
10 trend-following strategies were compared on the full daily history of Wal-Mart de Mexico SAB de CV. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.5%, drawdown -43.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.7%, MDD -43.9%, Sharpe 0.48, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
9.7% | -43.9% | 0.48 | 0.22 | 8.8x | 3 | 100% |
| Donchian 채널 돌파 entryN=22, exitN=129 |
6.6% | -52.2% | 0.39 | 0.13 | 4.5x | 30 | 84% |
| SMA 크로스오버 fast=41, slow=165 |
4.8% | -41.5% | 0.34 | 0.12 | 3.0x | 42 | 60% |
| EMA 크로스오버 fast=53, slow=101 |
4.0% | -49.9% | 0.30 | 0.08 | 2.5x | 44 | 62% |
| ADX / DI 방향성 period=48, threshold=17 |
1.6% | -18.3% | 0.21 | 0.09 | 1.4x | 38 | 16% |
| Supertrend period=8, mult=5 |
2.2% | -60.2% | 0.21 | 0.04 | 1.7x | 54 | 63% |
| 볼린저 밴드 돌파 n=56, k=3.2 |
0.3% | -24.7% | 0.08 | 0.01 | 1.1x | 28 | 12% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=26, mult=2.7 |
-2.0% | -68.2% | -0.11 | -0.03 | 0.6x | 88 | 23% |
| MACD fast=15, slow=71, signal=23 |
-5.8% | -86.7% | -0.23 | -0.07 | 0.2x | 267 | 49% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-9.0% | -91.8% | -0.41 | -0.10 | 0.1x | 233 | 52% |
| Buy and hold | 9.5% | -43.9% | 0.48 | 0.22 | 8.5x | 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 1-day return is greater than -12%
- Sell — Sell when the 1-day return drops to -12% or below