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 14.5%, MDD -45.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.9%, drawdown -83.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.6%, MDD -45.4%, Sharpe 0.61, 66% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.5%, MDD -45.2%, exposure 74%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 14.5%, 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 |
13.6% | -45.4% | 0.61 | 0.30 | 13.7x | 107 | 66% |
| Donchian 채널 돌파 entryN=11, exitN=38 |
14.5% | -45.2% | 0.60 | 0.32 | 16.2x | 86 | 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 |
11.5% | -51.2% | 0.55 | 0.22 | 9.4x | 52 | 61% |
| EMA 크로스오버 fast=14, slow=218 |
10.8% | -49.3% | 0.53 | 0.22 | 8.3x | 31 | 62% |
| SMA 크로스오버 fast=14, slow=47 |
10.1% | -51.9% | 0.50 | 0.19 | 7.2x | 124 | 57% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=29, mult=2 |
7.9% | -46.6% | 0.49 | 0.17 | 4.8x | 110 | 32% |
| 볼린저 밴드 돌파 n=51, k=1.2 |
8.8% | -50.8% | 0.49 | 0.17 | 5.6x | 124 | 46% |
| Parabolic SAR step=0.005, maxStep=0.26 |
9.4% | -57.7% | 0.48 | 0.16 | 6.3x | 172 | 52% |
| ADX / DI 방향성 period=27, threshold=32 |
3.1% | -32.1% | 0.42 | 0.10 | 1.9x | 18 | 6% |
| Buy and hold | 9.9% | -83.8% | 0.44 | 0.12 | 6.9x | 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 149-day return is greater than -4%
- Sell — Sell when the 149-day return drops to -4% or below