Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Companhia de Saneamento de Minas Gerais backtest
10 trend-following strategies were compared on the full daily history of Companhia de Saneamento de Minas Gerais. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.3%, MDD -45.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 10.7%, drawdown -83.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.5%, MDD -45.4%, Sharpe 0.64, 66% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.3%, MDD -45.2%, exposure 74%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 15.3%, MDD -45.2%, exposure 74%).
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=149, threshold=-0.04 |
14.5% | -45.4% | 0.64 | 0.32 | 15.9x | 107 | 66% |
| Donchian 채널 돌파 entryN=11, exitN=38 |
15.3% | -45.2% | 0.63 | 0.34 | 18.5x | 85 | 74% |
| MACD fast=16, slow=38, signal=15 |
12.1% | -50.2% | 0.58 | 0.24 | 10.4x | 234 | 51% |
| Supertrend period=22, mult=4.9 |
12.3% | -51.2% | 0.58 | 0.24 | 10.8x | 51 | 61% |
| EMA 크로스오버 fast=14, slow=218 |
11.7% | -49.3% | 0.56 | 0.24 | 9.6x | 31 | 62% |
| SMA 크로스오버 fast=14, slow=47 |
10.9% | -51.9% | 0.53 | 0.21 | 8.4x | 123 | 57% |
| 볼린저 밴드 돌파 n=51, k=1.2 |
9.2% | -50.8% | 0.50 | 0.18 | 6.0x | 123 | 46% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=29, mult=2 |
8.2% | -46.6% | 0.50 | 0.18 | 5.0x | 109 | 32% |
| Parabolic SAR step=0.005, maxStep=0.26 |
9.6% | -57.7% | 0.49 | 0.17 | 6.6x | 171 | 52% |
| ADX / DI 방향성 period=27, threshold=32 |
3.1% | -32.1% | 0.42 | 0.10 | 1.9x | 18 | 6% |
| Buy and hold | 10.7% | -83.8% | 0.46 | 0.13 | 8.0x | 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 149-day return is greater than -4%
- Sell — Sell when the 149-day return drops to -4% or below