Trend-Following Backtester · Guide · backtest 한국어
etf · BR
BB ETF Ibovespa Fun de Indice backtest
10 trend-following strategies were compared on the full daily history of BB ETF Ibovespa Fun de Indice. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -26.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.5%, MDD -10.5%, Sharpe 0.58, 11% exposure.
CAGR reference leader: Supertrend — CAGR 6.3%, MDD -18.1%, exposure 50%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=51, threshold=18 |
3.5% | -10.5% | 0.58 | 0.33 | 1.2x | 8 | 11% |
| Supertrend period=14, mult=2.8 |
6.3% | -18.1% | 0.58 | 0.35 | 1.4x | 45 | 50% |
| EMA 크로스오버 fast=19, slow=32 |
5.6% | -13.5% | 0.48 | 0.42 | 1.4x | 32 | 56% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=2 |
2.7% | -7.4% | 0.45 | 0.37 | 1.2x | 28 | 15% |
| Donchian 채널 돌파 entryN=31, exitN=19 |
4.5% | -21.3% | 0.44 | 0.21 | 1.3x | 26 | 44% |
| SMA 크로스오버 fast=33, slow=131 |
3.9% | -17.6% | 0.36 | 0.22 | 1.3x | 14 | 57% |
| 볼린저 밴드 돌파 n=24, k=3 |
0.9% | -5.0% | 0.33 | 0.18 | 1.1x | 2 | 2% |
| ROC 모멘텀 n=48, threshold=0.04 |
2.6% | -23.9% | 0.29 | 0.11 | 1.2x | 62 | 38% |
| MACD fast=19, slow=57, signal=17 |
2.0% | -27.1% | 0.23 | 0.07 | 1.1x | 49 | 43% |
| Parabolic SAR step=0.01, maxStep=0.1 |
1.1% | -31.8% | 0.15 | 0.03 | 1.1x | 87 | 55% |
| Buy and hold | 10.9% | -26.3% | 0.66 | 0.41 | 1.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 51-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)