Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Grupo Supervielle SA Class B backtest
10 trend-following strategies were compared on the full daily history of Grupo Supervielle SA Class B. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 54.8%, MDD -45.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 56.1%, drawdown -81.2%).
Sharpe leader (same as main): MACD — CAGR 54.8%, MDD -45.4%, Sharpe 1.23, 49% exposure.
Return/drawdown alternative: MACD — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 35.8%p (CAGR 54.8%, MDD -45.4%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=16, slow=46, signal=7 |
54.8% | -45.4% | 1.23 | 1.21 | 86.1x | 136 | 49% |
| ADX / DI 방향성 period=38, threshold=13 |
45.0% | -39.7% | 1.11 | 1.13 | 44.2x | 51 | 48% |
| Supertrend period=16, mult=4.8 |
46.6% | -69.3% | 1.07 | 0.67 | 49.3x | 23 | 63% |
| Donchian 채널 돌파 entryN=22, exitN=43 |
49.4% | -64.8% | 1.05 | 0.76 | 59.9x | 27 | 73% |
| ROC 모멘텀 n=142, threshold=0.08 |
43.8% | -67.1% | 1.03 | 0.65 | 40.6x | 66 | 62% |
| 볼린저 밴드 돌파 n=41, k=1.5 |
38.8% | -47.7% | 1.03 | 0.81 | 28.3x | 64 | 46% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=17, mult=2.5 |
31.2% | -40.3% | 0.95 | 0.77 | 15.9x | 42 | 42% |
| SMA 크로스오버 fast=11, slow=106 |
36.9% | -59.4% | 0.91 | 0.62 | 24.5x | 33 | 62% |
| EMA 크로스오버 fast=12, slow=99 |
37.0% | -71.4% | 0.91 | 0.52 | 24.7x | 29 | 64% |
| Parabolic SAR step=0.015, maxStep=0.34 |
34.3% | -68.4% | 0.88 | 0.50 | 20.2x | 175 | 57% |
| Buy and hold | 56.1% | -81.2% | 1.03 | 0.69 | 93.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (16/46) crosses above its 7-day signal line
- Sell — Sell when the MACD line crosses back below the signal line