Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Cyrela Brazil Realty SA Empreendimentos e Participacoes backtest
10 trend-following strategies were compared on the full daily history of Cyrela Brazil Realty SA Empreendimentos e Participacoes. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.0%, MDD -45.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.6%, drawdown -81.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.0%, MDD -45.0%, Sharpe 0.61, 29% exposure.
CAGR reference leader: MACD — CAGR 13.8%, MDD -68.2%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 36.0%p (CAGR 12.0%, MDD -45.0%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=39, k=2.4 |
12.0% | -45.0% | 0.61 | 0.27 | 20.1x | 100 | 29% |
| MACD fast=18, slow=86, signal=21 |
13.8% | -68.2% | 0.57 | 0.20 | 30.8x | 213 | 49% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=27, mult=3 |
11.4% | -49.3% | 0.57 | 0.23 | 17.7x | 82 | 30% |
| ADX / DI 방향성 period=33, threshold=18 |
9.3% | -60.0% | 0.52 | 0.15 | 10.6x | 88 | 25% |
| Donchian 채널 돌파 entryN=52, exitN=35 |
10.4% | -57.9% | 0.49 | 0.18 | 14.0x | 80 | 45% |
| ROC 모멘텀 n=44, threshold=0.07 |
9.4% | -60.5% | 0.47 | 0.16 | 10.9x | 332 | 37% |
| SMA 크로스오버 fast=28, slow=245 |
11.3% | -79.2% | 0.47 | 0.14 | 17.1x | 44 | 58% |
| EMA 크로스오버 fast=30, slow=95 |
10.3% | -72.3% | 0.45 | 0.14 | 13.5x | 64 | 56% |
| Parabolic SAR step=0.005, maxStep=0.04 |
8.1% | -81.3% | 0.41 | 0.10 | 8.0x | 180 | 52% |
| Supertrend period=11, mult=4.8 |
8.1% | -67.5% | 0.41 | 0.12 | 7.9x | 112 | 53% |
| Buy and hold | 14.6% | -81.0% | 0.52 | 0.18 | 37.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 39-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 39-day middle average