Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Sendas Distribuidora SA backtest
10 trend-following strategies were compared on the full daily history of Sendas Distribuidora SA. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.5%, MDD -15.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.2%, drawdown -75.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.5%, MDD -15.0%, Sharpe 0.42, 11% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.7%, MDD -41.0%, exposure 69%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.7%p higher than buy and hold, while drawdown improves by 60.6%p (CAGR 4.5%, MDD -15.0%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=27 |
4.5% | -15.0% | 0.42 | 0.30 | 1.3x | 12 | 11% |
| Donchian 채널 돌파 entryN=23, exitN=72 |
6.7% | -41.0% | 0.36 | 0.16 | 1.4x | 13 | 69% |
| SMA 크로스오버 fast=36, slow=127 |
3.6% | -32.8% | 0.27 | 0.11 | 1.2x | 10 | 44% |
| ROC 모멘텀 n=69, threshold=0.02 |
3.5% | -26.8% | 0.27 | 0.13 | 1.2x | 52 | 42% |
| Supertrend period=12, mult=4.5 |
-2.3% | -48.5% | 0.06 | -0.05 | 0.9x | 18 | 57% |
| 볼린저 밴드 돌파 n=55, k=2.4 |
-1.0% | -42.2% | 0.02 | -0.02 | 0.9x | 16 | 19% |
| MACD fast=13, slow=58, signal=10 |
-3.5% | -63.1% | 0.02 | -0.06 | 0.8x | 72 | 46% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-5.9% | -60.2% | -0.07 | -0.10 | 0.7x | 86 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=3.3 |
-1.7% | -25.3% | -0.08 | -0.07 | 0.9x | 8 | 10% |
| EMA 크로스오버 fast=43, slow=184 |
-6.6% | -47.0% | -0.21 | -0.14 | 0.7x | 8 | 34% |
| Buy and hold | -9.2% | -75.7% | -0.03 | -0.12 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)