Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Inversiones La Construccion SA backtest
10 trend-following strategies were compared on the full daily history of Inversiones La Construccion SA. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.9%, MDD -24.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 8.0%, drawdown -80.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 11.9%, MDD -24.2%, Sharpe 1.05, 22% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 13.6%, MDD -40.1%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 56.6%p (CAGR 11.9%, MDD -24.2%, exposure 22%).
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=20, atrPeriod=22, mult=2.5 |
11.9% | -24.2% | 1.05 | 0.49 | 4.8x | 48 | 22% |
| ADX / DI 방향성 period=30, threshold=31 |
7.2% | -13.0% | 1.01 | 0.55 | 2.7x | 14 | 10% |
| ROC 모멘텀 n=50, threshold=0.13 |
10.4% | -28.1% | 0.87 | 0.37 | 4.0x | 84 | 23% |
| EMA 크로스오버 fast=23, slow=286 |
13.6% | -40.1% | 0.81 | 0.34 | 6.0x | 15 | 52% |
| 볼린저 밴드 돌파 n=49, k=2.4 |
10.1% | -31.8% | 0.80 | 0.32 | 3.9x | 38 | 28% |
| Donchian 채널 돌파 entryN=118, exitN=20 |
8.9% | -31.0% | 0.79 | 0.29 | 3.3x | 22 | 22% |
| Supertrend period=9, mult=5 |
13.0% | -36.4% | 0.77 | 0.36 | 5.6x | 41 | 57% |
| SMA 크로스오버 fast=18, slow=178 |
8.7% | -51.3% | 0.54 | 0.17 | 3.2x | 33 | 53% |
| Parabolic SAR step=0.015, maxStep=0.08 |
8.9% | -66.6% | 0.52 | 0.13 | 3.3x | 177 | 56% |
| MACD fast=17, slow=25, signal=19 |
4.9% | -72.5% | 0.35 | 0.07 | 2.0x | 170 | 52% |
| Buy and hold | 8.0% | -80.7% | 0.41 | 0.10 | 2.9x | 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 20-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average