Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Brava Energia SA backtest
10 trend-following strategies were compared on the full daily history of Brava Energia SA. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.6%, MDD -3.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR -3.1%, drawdown -73.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.6%, MDD -26.2%, Sharpe 0.66, 11% exposure.
CAGR reference leader: Parabolic SAR — CAGR 16.4%, MDD -43.9%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 47.2%p (CAGR 1.6%, MDD -3.0%, exposure 1%).
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 n=4, threshold=0.08 |
9.6% | -26.2% | 0.66 | 0.37 | 1.7x | 120 | 11% |
| Parabolic SAR step=0.025, maxStep=0.1 |
16.4% | -43.9% | 0.65 | 0.37 | 2.4x | 112 | 48% |
| MACD fast=10, slow=25, signal=17 |
13.3% | -35.5% | 0.55 | 0.37 | 2.1x | 72 | 51% |
| ADX / DI 방향성 period=24, threshold=37 |
1.6% | -3.0% | 0.52 | 0.52 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=13, k=1.4 |
10.3% | -38.5% | 0.50 | 0.27 | 1.8x | 100 | 38% |
| Supertrend period=23, mult=1.4 |
8.1% | -38.5% | 0.41 | 0.21 | 1.6x | 100 | 47% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=9, mult=1.2 |
3.9% | -38.1% | 0.28 | 0.10 | 1.3x | 66 | 32% |
| SMA 크로스오버 fast=86, slow=93 |
-7.8% | -65.7% | -0.10 | -0.12 | 0.6x | 34 | 47% |
| EMA 크로스오버 fast=49, slow=50 |
-18.4% | -79.6% | -0.57 | -0.23 | 0.3x | 26 | 43% |
| Donchian 채널 돌파 entryN=90, exitN=42 |
-12.4% | -60.7% | -0.69 | -0.20 | 0.5x | 8 | 18% |
| Buy and hold | -3.1% | -73.4% | 0.17 | -0.04 | 0.8x | 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