Trend-Following Backtester · Guide · backtest 한국어

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BTG Pactual Logistica Fundo de Investimento Imobiliario Responsabilidade Limitada backtest

10 trend-following strategies were compared on the full daily history of BTG Pactual Logistica Fundo de Investimento Imobiliario Responsabilidade Limitada. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 3.6%, MDD -16.0%).

Data 2014-08-06 ~ 2026-07-31daily bars 2,984 (12.0 years)Costs 0.5%Venue BMFBOVESPAMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR 0.2%, drawdown -52.3%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.6%, MDD -16.0%, Sharpe 0.49, 8% exposure.

CAGR reference leader: 볼린저 밴드 돌파 — CAGR 4.7%, MDD -23.6%, exposure 36%.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 3.6%, MDD -16.0%, exposure 8%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=42, threshold=0.11
3.6%-16.0%0.490.231.5x288%
Keltner 채널 돌파
emaPeriod=48, atrPeriod=9, mult=3
4.2%-19.9%0.470.211.6x2423%
볼린저 밴드 돌파
n=58, k=1.4
4.7%-23.6%0.470.201.7x3836%
Donchian 채널 돌파
entryN=117, exitN=36
3.6%-27.4%0.410.131.5x1423%
SMA 크로스오버
fast=12, slow=161
3.8%-28.1%0.360.131.6x2449%
EMA 크로스오버
fast=33, slow=60
3.3%-25.8%0.340.131.5x3047%
Supertrend
period=28, mult=4.5
3.4%-33.5%0.330.101.5x3059%
ADX / DI 방향성
period=42, threshold=10
3.2%-29.1%0.330.111.5x7837%
MACD
fast=19, slow=43, signal=13
-1.8%-44.5%-0.05-0.040.8x13248%
Parabolic SAR
step=0.015, maxStep=0.26
-3.8%-47.7%-0.20-0.080.6x18847%
Buy and hold0.2%-52.3%0.110.001.0x1100%
1x 2015 2017 2019 2021 2023 2025 볼린저 밴드 돌파ROC 모멘텀Buy and hold
ROC 모멘텀 (Sharpe leader), 볼린저 밴드 돌파 (CAGR reference), Buy and hold.
0% -13% -26% -39% -52% 2015 2017 2019 2021 2023 2025 Buy and hold볼린저 밴드 돌파ROC 모멘텀
ROC 모멘텀 maximum drawdown -16.0% (2020-01-06 → 2020-05-21), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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