Trend-Following Backtester · Guide · backtest 한국어
equity · BR
GPS Participacoes e Empreendimentos SA backtest
10 trend-following strategies were compared on the full daily history of GPS Participacoes e Empreendimentos SA. 7 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 7.2%, MDD -10.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.8%, drawdown -48.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.2%, MDD -10.4%, Sharpe 0.89, 10% exposure.
CAGR reference leader: Supertrend — CAGR 8.3%, MDD -35.9%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 7.2%, MDD -10.4%, exposure 10%).
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=17, k=3.1 |
7.2% | -10.4% | 0.89 | 0.69 | 1.4x | 8 | 10% |
| ADX / DI 방향성 period=17, threshold=25 |
5.1% | -18.1% | 0.48 | 0.28 | 1.3x | 16 | 17% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=17, mult=2.3 |
3.6% | -19.0% | 0.46 | 0.19 | 1.2x | 12 | 10% |
| Supertrend period=11, mult=2.9 |
8.3% | -35.9% | 0.46 | 0.23 | 1.5x | 29 | 54% |
| SMA 크로스오버 fast=24, slow=159 |
5.4% | -28.3% | 0.39 | 0.19 | 1.3x | 10 | 39% |
| Donchian 채널 돌파 entryN=92, exitN=89 |
4.1% | -23.0% | 0.33 | 0.18 | 1.2x | 4 | 34% |
| ROC 모멘텀 n=141, threshold=0.09 |
3.0% | -21.6% | 0.27 | 0.14 | 1.2x | 26 | 29% |
| EMA 크로스오버 fast=21, slow=185 |
0.4% | -30.9% | 0.11 | 0.01 | 1.0x | 10 | 38% |
| MACD fast=24, slow=56, signal=19 |
-0.5% | -36.0% | 0.07 | -0.01 | 1.0x | 43 | 42% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.1% | -44.2% | 0.02 | -0.05 | 0.9x | 97 | 48% |
| Buy and hold | 0.8% | -48.2% | 0.19 | 0.02 | 1.0x | 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 17-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 17-day middle average