Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Banco Bradesco SA backtest
10 trend-following strategies were compared on the full daily history of Banco Bradesco SA. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.8%, drawdown -61.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.0%, MDD -12.3%, Sharpe 0.46, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.8%, MDD -53.9%, exposure 67%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=40, k=3.5 |
3.0% | -12.3% | 0.46 | 0.25 | 2.2x | 16 | 6% |
| Donchian 채널 돌파 entryN=18, exitN=33 |
6.8% | -53.9% | 0.38 | 0.13 | 5.8x | 118 | 67% |
| Supertrend period=6, mult=4.1 |
4.9% | -51.7% | 0.32 | 0.09 | 3.6x | 120 | 54% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=13, mult=3.4 |
3.4% | -30.3% | 0.31 | 0.11 | 2.4x | 80 | 21% |
| SMA 크로스오버 fast=19, slow=73 |
3.9% | -61.9% | 0.28 | 0.06 | 2.8x | 106 | 54% |
| MACD fast=25, slow=37, signal=22 |
3.2% | -71.8% | 0.25 | 0.04 | 2.3x | 254 | 51% |
| EMA 크로스오버 fast=40, slow=64 |
2.9% | -75.9% | 0.24 | 0.04 | 2.1x | 74 | 58% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.7% | -63.3% | 0.15 | 0.01 | 1.2x | 234 | 52% |
| ROC 모멘텀 n=68, threshold=-0.04 |
-0.6% | -79.1% | 0.10 | -0.01 | 0.9x | 307 | 64% |
| ADX / DI 방향성 period=12, threshold=28 |
0.4% | -55.5% | 0.10 | 0.01 | 1.1x | 184 | 19% |
| Buy and hold | 7.8% | -61.3% | 0.39 | 0.13 | 7.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 40-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 40-day middle average