Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Cogna Educacao S.A. backtest
10 trend-following strategies were compared on the full daily history of Cogna Educacao S.A.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.4%, MDD -33.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.8%, drawdown -95.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.1%, MDD -49.7%, Sharpe 0.63, 36% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 13.5%, MDD -77.5%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.0%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 7.4%, MDD -33.6%, exposure 9%).
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=130, threshold=0.14 |
13.1% | -49.7% | 0.63 | 0.26 | 5.9x | 70 | 36% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=21, mult=2 |
11.7% | -38.1% | 0.59 | 0.31 | 5.0x | 66 | 21% |
| 볼린저 밴드 돌파 n=33, k=1.8 |
11.4% | -51.8% | 0.53 | 0.22 | 4.7x | 84 | 32% |
| Donchian 채널 돌파 entryN=114, exitN=60 |
12.9% | -53.7% | 0.51 | 0.24 | 5.8x | 16 | 35% |
| ADX / DI 방향성 period=33, threshold=27 |
7.4% | -33.6% | 0.51 | 0.22 | 2.8x | 10 | 9% |
| EMA 크로스오버 fast=6, slow=81 |
13.5% | -77.5% | 0.51 | 0.17 | 6.2x | 74 | 47% |
| Supertrend period=23, mult=4.4 |
10.4% | -64.0% | 0.47 | 0.16 | 4.2x | 42 | 46% |
| SMA 크로스오버 fast=21, slow=48 |
10.5% | -75.2% | 0.43 | 0.14 | 4.2x | 74 | 48% |
| MACD fast=14, slow=33, signal=17 |
4.2% | -83.5% | 0.29 | 0.05 | 1.8x | 175 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.9% | -80.9% | 0.28 | 0.05 | 1.7x | 239 | 49% |
| Buy and hold | -0.8% | -95.3% | 0.25 | -0.01 | 0.9x | 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 130-day return is greater than 14%
- Sell — Sell when the 130-day return drops to 14% or below