Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Cosan S.A. backtest
10 trend-following strategies were compared on the full daily history of Cosan S.A.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.1%, MDD -18.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.3%, drawdown -88.5%).
Sharpe leader (same as main): Supertrend — CAGR 7.3%, MDD -73.5%, Sharpe 0.41, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 15.0%p (CAGR 2.1%, MDD -18.3%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=4.9 |
7.3% | -73.5% | 0.41 | 0.10 | 4.3x | 50 | 47% |
| ADX / DI 방향성 period=25, threshold=35 |
2.6% | -20.9% | 0.37 | 0.13 | 1.7x | 10 | 4% |
| 볼린저 밴드 돌파 n=21, k=3.2 |
2.1% | -18.3% | 0.31 | 0.12 | 1.5x | 14 | 3% |
| Donchian 채널 돌파 entryN=11, exitN=44 |
3.7% | -82.8% | 0.28 | 0.04 | 2.1x | 83 | 76% |
| Parabolic SAR step=0.005, maxStep=0.04 |
3.4% | -76.8% | 0.26 | 0.04 | 2.0x | 156 | 52% |
| SMA 크로스오버 fast=50, slow=212 |
2.2% | -65.7% | 0.21 | 0.03 | 1.6x | 24 | 47% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=25, mult=2 |
2.1% | -50.9% | 0.21 | 0.04 | 1.5x | 102 | 25% |
| EMA 크로스오버 fast=17, slow=55 |
0.2% | -67.1% | 0.14 | 0.00 | 1.0x | 96 | 49% |
| MACD fast=19, slow=30, signal=12 |
-1.8% | -69.6% | 0.08 | -0.03 | 0.7x | 273 | 51% |
| ROC 모멘텀 n=145, threshold=0.13 |
-2.0% | -59.8% | -0.00 | -0.03 | 0.7x | 172 | 33% |
| Buy and hold | -0.3% | -88.5% | 0.20 | -0.00 | 0.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)