Trend-Following Backtester · Guide · backtest 한국어
equity · BR
B3 SA - Brasil, Bolsa, Balcao backtest
10 trend-following strategies were compared on the full daily history of B3 SA - Brasil, Bolsa, Balcao. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -36.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.0%, drawdown -93.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -39.5%, Sharpe 0.39, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 0.5%, MDD -36.9%, exposure 15%).
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=13, slow=83 |
7.1% | -39.5% | 0.39 | 0.18 | 3.6x | 66 | 53% |
| EMA 크로스오버 fast=17, slow=42 |
6.8% | -39.7% | 0.38 | 0.17 | 3.4x | 84 | 53% |
| Donchian 채널 돌파 entryN=18, exitN=38 |
6.2% | -76.7% | 0.38 | 0.08 | 3.1x | 61 | 64% |
| Supertrend period=19, mult=4.3 |
5.9% | -52.1% | 0.35 | 0.11 | 2.9x | 58 | 53% |
| 볼린저 밴드 돌파 n=43, k=1.3 |
4.4% | -43.1% | 0.31 | 0.10 | 2.3x | 123 | 40% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=0.7 |
1.3% | -69.9% | 0.17 | 0.02 | 1.3x | 177 | 47% |
| ROC 모멘텀 n=60, threshold=-0.06 |
-2.5% | -81.9% | 0.12 | -0.03 | 0.6x | 193 | 64% |
| ADX / DI 방향성 period=34, threshold=18 |
0.5% | -36.9% | 0.11 | 0.01 | 1.1x | 50 | 15% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-7.5% | -92.0% | -0.06 | -0.08 | 0.2x | 159 | 52% |
| MACD fast=15, slow=57, signal=11 |
-6.3% | -84.1% | -0.07 | -0.08 | 0.3x | 255 | 52% |
| Buy and hold | -4.0% | -93.0% | 0.16 | -0.04 | 0.5x | 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 13-day average price crosses above the 83-day average
- Sell — Sell (to cash) when the 13-day average falls below the 83-day average