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 9.5%, drawdown -28.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.3%, MDD -29.0%, Sharpe 0.45, 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 |
9.3% | -29.0% | 0.45 | 0.32 | 1.7x | 3 | 100% |
| Donchian 채널 돌파 Hold-like · Exposure 99% entryN=4, exitN=80 |
9.2% | -29.0% | 0.45 | 0.32 | 1.7x | 3 | 99% |
| Supertrend period=3, mult=5 |
8.2% | -28.3% | 0.41 | 0.29 | 1.6x | 7 | 91% |
| Parabolic SAR step=0.02, maxStep=0.02 |
7.0% | -28.3% | 0.37 | 0.25 | 1.5x | 19 | 94% |
| MACD fast=17, slow=26, signal=16 |
5.6% | -29.0% | 0.32 | 0.19 | 1.4x | 21 | 34% |
| SMA 크로스오버 fast=57, slow=99 |
2.9% | -29.3% | 0.24 | 0.10 | 1.2x | 3 | 37% |
| EMA 크로스오버 fast=54, slow=68 |
2.6% | -29.1% | 0.22 | 0.09 | 1.2x | 3 | 94% |
| ADX / DI 방향성 period=39, threshold=17 |
1.9% | -29.1% | 0.19 | 0.07 | 1.1x | 7 | 89% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=13, mult=2.1 |
1.2% | -29.1% | 0.15 | 0.04 | 1.1x | 9 | 85% |
| 볼린저 밴드 돌파 n=73, k=2.4 |
-4.0% | -30.1% | -0.27 | -0.13 | 0.8x | 5 | 21% |
| Buy and hold | 9.5% | -28.3% | 0.46 | 0.33 | 1.7x | 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