Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Grupo Mateus SA backtest
10 trend-following strategies were compared on the full daily history of Grupo Mateus SA. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.0%, MDD -12.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.9%, drawdown -63.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.0%, MDD -12.2%, Sharpe 0.78, 7% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.9%p higher than buy and hold, while drawdown improves by 51.4%p (CAGR 9.0%, MDD -12.2%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=19, mult=2.9 |
9.0% | -12.2% | 0.78 | 0.74 | 1.6x | 6 | 7% |
| ADX / DI 방향성 period=18, threshold=21 |
7.5% | -25.6% | 0.49 | 0.29 | 1.5x | 36 | 22% |
| 볼린저 밴드 돌파 n=23, k=2.8 |
5.7% | -23.2% | 0.47 | 0.25 | 1.4x | 12 | 9% |
| ROC 모멘텀 n=61, threshold=0.12 |
2.1% | -31.1% | 0.22 | 0.07 | 1.1x | 28 | 17% |
| Donchian 채널 돌파 entryN=66, exitN=10 |
2.0% | -27.4% | 0.21 | 0.07 | 1.1x | 14 | 14% |
| Supertrend period=14, mult=3.6 |
1.8% | -44.5% | 0.19 | 0.04 | 1.1x | 24 | 43% |
| SMA 크로스오버 fast=12, slow=57 |
0.1% | -36.7% | 0.12 | 0.00 | 1.0x | 24 | 34% |
| EMA 크로스오버 fast=7, slow=35 |
-1.3% | -52.1% | 0.06 | -0.02 | 0.9x | 42 | 37% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-4.4% | -55.4% | -0.04 | -0.08 | 0.8x | 107 | 46% |
| MACD fast=16, slow=45, signal=14 |
-7.0% | -53.0% | -0.14 | -0.13 | 0.7x | 77 | 46% |
| Buy and hold | -12.9% | -63.6% | -0.16 | -0.20 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average