Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Cury Construtora e Incorporadora SA backtest
10 trend-following strategies were compared on the full daily history of Cury Construtora e Incorporadora SA. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 27.6%, MDD -27.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 21.7%, drawdown -50.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 27.6%, MDD -27.3%, Sharpe 0.98, 64% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR 27.6%, MDD -27.3%, exposure 64%).
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=162, threshold=0.02 |
27.6% | -27.3% | 0.98 | 1.01 | 4.2x | 18 | 64% |
| SMA 크로스오버 fast=16, slow=211 |
24.6% | -29.6% | 0.90 | 0.83 | 3.6x | 4 | 62% |
| EMA 크로스오버 fast=29, slow=154 |
22.3% | -30.0% | 0.85 | 0.74 | 3.3x | 6 | 62% |
| 볼린저 밴드 돌파 n=24, k=3.1 |
10.1% | -12.5% | 0.79 | 0.81 | 1.8x | 8 | 11% |
| MACD fast=22, slow=62, signal=15 |
16.6% | -41.6% | 0.71 | 0.40 | 2.5x | 48 | 50% |
| Supertrend period=21, mult=2.5 |
17.1% | -38.0% | 0.71 | 0.45 | 2.5x | 38 | 59% |
| Donchian 채널 돌파 entryN=90, exitN=62 |
15.6% | -27.9% | 0.68 | 0.56 | 2.3x | 6 | 53% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=27, mult=2.7 |
10.2% | -18.6% | 0.60 | 0.55 | 1.8x | 20 | 28% |
| ADX / DI 방향성 period=27, threshold=26 |
5.9% | -16.7% | 0.55 | 0.35 | 1.4x | 8 | 8% |
| Parabolic SAR step=0.005, maxStep=0.34 |
2.4% | -46.6% | 0.22 | 0.05 | 1.1x | 60 | 55% |
| Buy and hold | 21.7% | -50.6% | 0.70 | 0.43 | 3.2x | 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 162-day return is greater than 2%
- Sell — Sell when the 162-day return drops to 2% or below