Trend-Following Backtester · Guide · backtest 한국어
equity · US
Betterware de Mexico, S.A.P.I. de C.V. backtest
10 trend-following strategies were compared on the full daily history of Betterware de Mexico, S.A.P.I. de C.V.. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 22.2%, MDD -24.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.5%, drawdown -87.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 24.2%, MDD -29.6%, Sharpe 0.89, 42% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 30.5%, MDD -41.7%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.7%p higher than buy and hold, while drawdown improves by 57.7%p (CAGR 22.2%, MDD -24.8%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=19, mult=3.2 |
24.2% | -29.6% | 0.89 | 0.81 | 5.1x | 14 | 42% |
| 볼린저 밴드 돌파 n=49, k=2.9 |
22.2% | -24.8% | 0.87 | 0.89 | 4.6x | 20 | 33% |
| SMA 크로스오버 fast=37, slow=130 |
30.5% | -41.7% | 0.84 | 0.73 | 7.5x | 9 | 50% |
| ADX / DI 방향성 period=31, threshold=38 |
14.1% | -24.8% | 0.83 | 0.57 | 2.7x | 4 | 7% |
| Donchian 채널 돌파 entryN=44, exitN=57 |
28.9% | -41.0% | 0.80 | 0.70 | 6.8x | 9 | 55% |
| Supertrend period=26, mult=4.9 |
29.4% | -53.6% | 0.77 | 0.55 | 7.0x | 22 | 50% |
| ROC 모멘텀 n=77, threshold=0.02 |
25.4% | -42.9% | 0.75 | 0.59 | 5.6x | 50 | 41% |
| EMA 크로스오버 fast=23, slow=122 |
21.9% | -40.7% | 0.74 | 0.54 | 4.5x | 9 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
4.7% | -73.6% | 0.31 | 0.06 | 1.4x | 48 | 56% |
| MACD fast=7, slow=40, signal=17 |
-16.2% | -84.9% | -0.27 | -0.19 | 0.3x | 144 | 48% |
| Buy and hold | 7.5% | -87.4% | 0.42 | 0.09 | 1.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 73-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 73-day average