Trend-Following Backtester · Guide · backtest 한국어
etf · BR
Zagros Renda Imobiliaria Fundo de Investimento Imobiliario - Responsabilidade Limitada backtest
10 trend-following strategies were compared on the full daily history of Zagros Renda Imobiliaria Fundo de Investimento Imobiliario - Responsabilidade Limitada. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.8%, MDD -1.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.0%, drawdown -39.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.8%, MDD -1.2%, Sharpe 0.54, 0% exposure.
CAGR reference leader: Supertrend — CAGR 2.6%, MDD -22.3%, exposure 46%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 38.6%p (CAGR 0.8%, MDD -1.2%, exposure 0%).
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=12, threshold=0.14 |
0.8% | -1.2% | 0.54 | 0.64 | 1.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=15, mult=3.5 |
1.8% | -11.1% | 0.36 | 0.17 | 1.2x | 12 | 13% |
| 볼린저 밴드 돌파 n=25, k=3 |
1.7% | -7.0% | 0.32 | 0.25 | 1.2x | 18 | 12% |
| Supertrend period=31, mult=2.1 |
2.6% | -22.3% | 0.29 | 0.12 | 1.3x | 66 | 46% |
| ADX / DI 방향성 period=38, threshold=21 |
0.5% | -4.8% | 0.20 | 0.11 | 1.0x | 8 | 2% |
| Donchian 채널 돌파 entryN=50, exitN=12 |
0.3% | -15.3% | 0.07 | 0.02 | 1.0x | 30 | 25% |
| MACD fast=17, slow=43, signal=14 |
-1.1% | -24.1% | -0.06 | -0.04 | 0.9x | 92 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.4% | -32.5% | -0.08 | -0.04 | 0.9x | 64 | 50% |
| EMA 크로스오버 fast=7, slow=53 |
-1.7% | -28.7% | -0.12 | -0.06 | 0.9x | 56 | 47% |
| SMA 크로스오버 fast=7, slow=25 |
-1.9% | -30.7% | -0.13 | -0.06 | 0.8x | 102 | 49% |
| Buy and hold | -3.0% | -39.8% | -0.10 | -0.07 | 0.8x | 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 12-day return is greater than 14%
- Sell — Sell when the 12-day return drops to 14% or below