Trend-Following Backtester · Guide · backtest 한국어
etf · BR
BRBI BR Partners S.A. Units Cons of 1 Sh and 2 Pfd Shs backtest
10 trend-following strategies were compared on the full daily history of BRBI BR Partners S.A. Units Cons of 1 Sh and 2 Pfd Shs. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 2.9%, MDD -9.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.4%, drawdown -66.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.7%, MDD -12.6%, Sharpe 0.58, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.2%, MDD -25.9%, exposure 42%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 13.1%p higher than buy and hold, while drawdown improves by 53.5%p (CAGR 2.9%, MDD -9.1%, exposure 3%).
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=59, k=2.4 |
6.7% | -12.6% | 0.58 | 0.53 | 1.4x | 6 | 15% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=17, mult=3.1 |
6.2% | -12.9% | 0.51 | 0.48 | 1.4x | 8 | 17% |
| ADX / DI 방향성 period=23, threshold=26 |
4.8% | -14.9% | 0.46 | 0.32 | 1.3x | 10 | 12% |
| ROC 모멘텀 n=30, threshold=0.23 |
2.9% | -9.1% | 0.46 | 0.33 | 1.2x | 8 | 3% |
| SMA 크로스오버 fast=33, slow=64 |
7.2% | -25.9% | 0.44 | 0.28 | 1.4x | 18 | 42% |
| Donchian 채널 돌파 entryN=32, exitN=39 |
5.7% | -28.6% | 0.37 | 0.20 | 1.3x | 13 | 49% |
| Supertrend period=5, mult=3.4 |
3.4% | -52.9% | 0.26 | 0.07 | 1.2x | 21 | 60% |
| EMA 크로스오버 fast=11, slow=165 |
3.1% | -27.8% | 0.25 | 0.11 | 1.2x | 10 | 41% |
| Parabolic SAR step=0.01, maxStep=0.08 |
2.7% | -38.0% | 0.23 | 0.07 | 1.2x | 63 | 47% |
| MACD fast=21, slow=50, signal=17 |
0.8% | -39.2% | 0.15 | 0.02 | 1.0x | 43 | 45% |
| Buy and hold | -6.4% | -66.2% | 0.01 | -0.10 | 0.7x | 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 59-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 59-day middle average