Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Direcional Engenharia S.A. backtest
10 trend-following strategies were compared on the full daily history of Direcional Engenharia S.A.. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 11.5%, MDD -51.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.2%, drawdown -81.3%).
Sharpe leader (same as main): MACD — CAGR 11.5%, MDD -51.4%, Sharpe 0.55, 50% exposure.
Return/drawdown alternative: MACD — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 29.9%p (CAGR 11.5%, MDD -51.4%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=29, slow=47, signal=20 |
11.5% | -51.4% | 0.55 | 0.22 | 6.2x | 138 | 50% |
| Donchian 채널 돌파 entryN=61, exitN=24 |
5.1% | -57.0% | 0.35 | 0.09 | 2.3x | 48 | 37% |
| SMA 크로스오버 fast=46, slow=184 |
5.8% | -72.8% | 0.34 | 0.08 | 2.6x | 28 | 57% |
| EMA 크로스오버 fast=12, slow=135 |
5.7% | -68.2% | 0.34 | 0.08 | 2.5x | 46 | 56% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=14, mult=2.2 |
4.8% | -53.8% | 0.34 | 0.09 | 2.2x | 76 | 32% |
| Supertrend period=6, mult=4.6 |
5.4% | -57.8% | 0.33 | 0.09 | 2.4x | 54 | 53% |
| ROC 모멘텀 n=135, threshold=0.18 |
4.3% | -52.3% | 0.31 | 0.08 | 2.0x | 122 | 34% |
| 볼린저 밴드 돌파 n=49, k=1.8 |
4.3% | -53.1% | 0.30 | 0.08 | 2.0x | 82 | 35% |
| Parabolic SAR step=0.005, maxStep=0.14 |
4.1% | -57.7% | 0.29 | 0.07 | 2.0x | 148 | 51% |
| ADX / DI 방향성 period=21, threshold=31 |
2.2% | -22.8% | 0.29 | 0.10 | 1.4x | 20 | 6% |
| Buy and hold | 7.2% | -81.3% | 0.38 | 0.09 | 3.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (29/47) crosses above its 20-day signal line
- Sell — Sell when the MACD line crosses back below the signal line