Trend-Following Backtester · Guide · backtest 한국어
equity · PE
InRetail Peru Corp. backtest
10 trend-following strategies were compared on the full daily history of InRetail Peru Corp.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.0%, MDD -14.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.2%, drawdown -52.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.1%, MDD -22.3%, Sharpe 0.65, 40% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 6.0%, MDD -14.8%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=38, k=1.4 |
8.1% | -22.3% | 0.65 | 0.36 | 2.9x | 71 | 40% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=26, mult=2.8 |
7.4% | -27.6% | 0.59 | 0.27 | 2.7x | 67 | 45% |
| ADX / DI 방향성 period=32, threshold=20 |
6.0% | -14.8% | 0.58 | 0.41 | 2.2x | 55 | 31% |
| Donchian 채널 돌파 entryN=38, exitN=51 |
7.6% | -22.9% | 0.55 | 0.33 | 2.8x | 39 | 59% |
| Parabolic SAR step=0.015, maxStep=0.22 |
6.4% | -27.6% | 0.50 | 0.23 | 2.4x | 156 | 52% |
| SMA 크로스오버 fast=8, slow=101 |
6.2% | -48.0% | 0.49 | 0.13 | 2.3x | 43 | 56% |
| ROC 모멘텀 n=54, threshold=-0.04 |
6.6% | -36.6% | 0.47 | 0.18 | 2.4x | 113 | 69% |
| EMA 크로스오버 fast=9, slow=63 |
6.0% | -43.5% | 0.46 | 0.14 | 2.2x | 65 | 55% |
| Supertrend period=10, mult=3.2 |
5.5% | -42.5% | 0.42 | 0.13 | 2.1x | 183 | 54% |
| MACD fast=13, slow=51, signal=14 |
4.0% | -32.4% | 0.33 | 0.12 | 1.7x | 156 | 47% |
| Buy and hold | 4.2% | -52.9% | 0.30 | 0.08 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 38-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 38-day middle average