Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Banco do Brasil S.A. backtest
10 trend-following strategies were compared on the full daily history of Banco do Brasil S.A.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.4%, MDD -51.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -66.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -51.5%, Sharpe 0.49, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 14.6%p (CAGR 10.4%, MDD -51.5%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=30, exitN=35 |
10.4% | -51.5% | 0.49 | 0.20 | 14.1x | 86 | 61% |
| MACD fast=18, slow=59, signal=17 |
9.3% | -61.5% | 0.45 | 0.15 | 10.7x | 265 | 51% |
| 볼린저 밴드 돌파 n=30, k=1.5 |
8.1% | -48.4% | 0.45 | 0.17 | 8.0x | 210 | 40% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=16, mult=2.1 |
7.6% | -44.3% | 0.44 | 0.17 | 7.1x | 134 | 34% |
| Supertrend period=8, mult=4.4 |
6.6% | -57.7% | 0.37 | 0.11 | 5.5x | 94 | 55% |
| Parabolic SAR step=0.005, maxStep=0.18 |
6.2% | -63.3% | 0.35 | 0.10 | 4.9x | 218 | 52% |
| SMA 크로스오버 fast=9, slow=114 |
6.0% | -54.5% | 0.35 | 0.11 | 4.8x | 100 | 57% |
| EMA 크로스오버 fast=20, slow=95 |
5.3% | -53.1% | 0.33 | 0.10 | 4.0x | 90 | 57% |
| ADX / DI 방향성 period=17, threshold=12 |
1.0% | -69.0% | 0.17 | 0.01 | 1.3x | 457 | 50% |
| ROC 모멘텀 n=149, threshold=-0.01 |
0.7% | -80.9% | 0.17 | 0.01 | 1.2x | 272 | 59% |
| Buy and hold | 10.7% | -66.1% | 0.45 | 0.16 | 15.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 30 days
- Sell — Sell when price breaks below the lowest low of the last 35 days