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 13.7%, MDD -43.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.0%, drawdown -74.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.7%, MDD -43.4%, Sharpe 0.71, 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 13.7%, 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 |
13.7% | -43.4% | 0.71 | 0.32 | 53.1x | 77 | 60% |
| EMA 크로스오버 fast=65, slow=118 |
13.0% | -59.3% | 0.67 | 0.22 | 44.0x | 39 | 66% |
| Donchian 채널 돌파 entryN=59, exitN=62 |
11.1% | -50.1% | 0.59 | 0.22 | 26.0x | 57 | 63% |
| 볼린저 밴드 돌파 n=39, k=2.3 |
8.4% | -50.7% | 0.58 | 0.17 | 12.1x | 126 | 32% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=24, mult=2.8 |
8.0% | -43.1% | 0.55 | 0.19 | 10.7x | 112 | 34% |
| ROC 모멘텀 n=113, threshold=-0.02 |
9.4% | -70.2% | 0.51 | 0.13 | 16.0x | 225 | 68% |
| Supertrend period=14, mult=4.8 |
7.4% | -51.7% | 0.45 | 0.14 | 9.1x | 113 | 53% |
| MACD fast=25, slow=70, signal=19 |
6.2% | -61.4% | 0.39 | 0.10 | 6.3x | 246 | 51% |
| Parabolic SAR step=0.01, maxStep=0.28 |
6.0% | -61.9% | 0.37 | 0.10 | 6.1x | 396 | 55% |
| ADX / DI 방향성 period=38, threshold=12 |
3.7% | -49.3% | 0.29 | 0.07 | 3.0x | 210 | 40% |
| Buy and hold | 12.0% | -74.9% | 0.51 | 0.16 | 32.6x | 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