Trend-Following Backtester · Guide · backtest 한국어
equity · US
Credicorp Ltd. backtest
10 trend-following strategies were compared on the full daily history of Credicorp Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.1%, MDD -43.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.3%, drawdown -74.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.1%, MDD -43.4%, Sharpe 0.73, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 14.1%, MDD -43.4%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=103 |
14.1% | -43.4% | 0.73 | 0.33 | 58.1x | 77 | 60% |
| EMA 크로스오버 fast=65, slow=118 |
13.4% | -59.3% | 0.69 | 0.23 | 48.1x | 39 | 66% |
| Donchian 채널 돌파 entryN=59, exitN=62 |
11.5% | -50.1% | 0.60 | 0.23 | 28.4x | 57 | 63% |
| 볼린저 밴드 돌파 n=39, k=2.3 |
8.6% | -50.7% | 0.59 | 0.17 | 12.6x | 125 | 32% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=24, mult=2.8 |
8.2% | -43.1% | 0.57 | 0.19 | 11.4x | 111 | 34% |
| ROC 모멘텀 n=113, threshold=-0.02 |
9.8% | -70.2% | 0.52 | 0.14 | 17.5x | 225 | 68% |
| Supertrend period=14, mult=4.8 |
7.7% | -51.7% | 0.46 | 0.15 | 9.9x | 113 | 53% |
| MACD fast=25, slow=70, signal=19 |
6.3% | -61.4% | 0.39 | 0.10 | 6.5x | 245 | 51% |
| Parabolic SAR step=0.01, maxStep=0.28 |
6.2% | -61.9% | 0.38 | 0.10 | 6.4x | 395 | 55% |
| ADX / DI 방향성 period=38, threshold=12 |
3.9% | -49.3% | 0.30 | 0.08 | 3.2x | 209 | 40% |
| Buy and hold | 12.3% | -74.9% | 0.52 | 0.16 | 35.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 58-day average price crosses above the 103-day average
- Sell — Sell (to cash) when the 58-day average falls below the 103-day average