Trend-Following Backtester · Guide · backtest 한국어
etf · BR
IT Now IMA-B5 P2 Fundo de Indice backtest
10 trend-following strategies were compared on the full daily history of IT Now IMA-B5 P2 Fundo de Indice. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.1%, drawdown -28.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.9%, MDD -29.0%, Sharpe 0.43, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=4, threshold=-0.08 |
8.9% | -29.0% | 0.43 | 0.30 | 1.6x | 3 | 100% |
| Donchian 채널 돌파 Hold-like · Exposure 99% entryN=6, exitN=105 |
8.8% | -29.0% | 0.43 | 0.30 | 1.6x | 3 | 99% |
| Parabolic SAR step=0.015, maxStep=0.18 |
5.2% | -28.3% | 0.31 | 0.18 | 1.3x | 29 | 90% |
| MACD fast=6, slow=31, signal=17 |
4.8% | -29.0% | 0.29 | 0.17 | 1.3x | 29 | 27% |
| SMA 크로스오버 fast=60, slow=101 |
2.3% | -29.3% | 0.20 | 0.08 | 1.1x | 3 | 36% |
| EMA 크로스오버 fast=39, slow=87 |
2.0% | -29.1% | 0.19 | 0.07 | 1.1x | 3 | 92% |
| ADX / DI 방향성 period=24, threshold=29 |
1.2% | -29.0% | 0.16 | 0.04 | 1.1x | 5 | 81% |
| Supertrend period=19, mult=5 |
1.0% | -29.1% | 0.15 | 0.03 | 1.1x | 7 | 93% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=12, mult=2.5 |
0.4% | -29.1% | 0.12 | 0.01 | 1.0x | 9 | 84% |
| 볼린저 밴드 돌파 n=57, k=2.4 |
-4.7% | -30.1% | -0.33 | -0.16 | 0.8x | 5 | 18% |
| Buy and hold | 9.1% | -28.3% | 0.44 | 0.32 | 1.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than -8%
- Sell — Sell when the 4-day return drops to -8% or below