Trend-Following Backtester · Guide · backtest 한국어
equity · US
MercadoLibre, Inc. backtest
10 trend-following strategies were compared on the full daily history of MercadoLibre, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.7%, MDD -47.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.7%, drawdown -89.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.3%, MDD -63.1%, Sharpe 0.68, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.4%p lower than buy and hold, while drawdown improves by 26.4%p (CAGR 18.7%, MDD -47.9%, exposure 67%).
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=23, slow=24 |
20.3% | -63.1% | 0.68 | 0.32 | 34.0x | 103 | 60% |
| SMA 크로스오버 fast=14, slow=278 |
18.7% | -47.9% | 0.66 | 0.39 | 26.1x | 26 | 67% |
| Supertrend period=27, mult=3.8 |
14.0% | -61.8% | 0.54 | 0.23 | 12.2x | 99 | 57% |
| 볼린저 밴드 돌파 n=34, k=1.2 |
13.0% | -53.8% | 0.54 | 0.24 | 10.3x | 177 | 47% |
| MACD fast=24, slow=55, signal=21 |
13.3% | -67.3% | 0.52 | 0.20 | 10.8x | 181 | 51% |
| ROC 모멘텀 n=139, threshold=0.03 |
12.5% | -64.5% | 0.51 | 0.19 | 9.5x | 146 | 63% |
| Donchian 채널 돌파 entryN=30, exitN=42 |
12.1% | -67.3% | 0.49 | 0.18 | 8.8x | 65 | 64% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=25, mult=1.1 |
9.0% | -58.3% | 0.42 | 0.15 | 5.1x | 161 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
8.2% | -70.5% | 0.39 | 0.12 | 4.5x | 179 | 55% |
| ADX / DI 방향성 period=11, threshold=13 |
7.5% | -67.6% | 0.38 | 0.11 | 4.0x | 435 | 54% |
| Buy and hold | 24.7% | -89.5% | 0.68 | 0.28 | 67.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 23-day EMA crosses above the 24-day EMA
- Sell — Sell when the 23-day EMA falls below the 24-day EMA