Trend-Following Backtester · Guide · backtest 한국어
etf · BR
Trend ETF Ibovespa Fundo de Indice backtest
10 trend-following strategies were compared on the full daily history of Trend ETF Ibovespa Fundo de Indice. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.0%, MDD -12.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -25.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.8%, MDD -8.2%, Sharpe 0.76, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.5%, MDD -16.1%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 17.8%p (CAGR 6.0%, MDD -12.2%, exposure 45%).
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=35, threshold=22 |
4.8% | -8.2% | 0.76 | 0.59 | 1.3x | 4 | 11% |
| SMA 크로스오버 fast=12, slow=69 |
6.5% | -16.1% | 0.57 | 0.40 | 1.4x | 20 | 52% |
| 볼린저 밴드 돌파 n=80, k=1.1 |
6.0% | -12.2% | 0.57 | 0.49 | 1.4x | 16 | 45% |
| EMA 크로스오버 fast=22, slow=31 |
5.9% | -15.0% | 0.52 | 0.39 | 1.3x | 22 | 53% |
| Supertrend period=11, mult=3.7 |
5.3% | -19.3% | 0.50 | 0.28 | 1.3x | 23 | 48% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=13, mult=4 |
2.7% | -6.3% | 0.43 | 0.43 | 1.2x | 10 | 16% |
| ROC 모멘텀 n=41, threshold=0.02 |
3.1% | -17.7% | 0.33 | 0.18 | 1.2x | 58 | 42% |
| Donchian 채널 돌파 entryN=11, exitN=60 |
3.4% | -29.2% | 0.30 | 0.12 | 1.2x | 23 | 76% |
| MACD fast=17, slow=46, signal=12 |
1.4% | -21.2% | 0.18 | 0.07 | 1.1x | 63 | 45% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.7% | -27.2% | -0.17 | -0.10 | 0.9x | 56 | 50% |
| Buy and hold | 6.8% | -25.9% | 0.46 | 0.26 | 1.4x | 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, 35-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)