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 8.7%, MDD -12.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.7%, drawdown -63.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.7%, MDD -12.2%, Sharpe 0.75, 7% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.4%p higher than buy and hold, while drawdown improves by 51.4%p (CAGR 8.7%, 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 |
8.7% | -12.2% | 0.75 | 0.72 | 1.6x | 7 | 7% |
| 볼린저 밴드 돌파 n=23, k=2.8 |
5.5% | -23.2% | 0.46 | 0.24 | 1.4x | 13 | 9% |
| ADX / DI 방향성 period=18, threshold=21 |
6.8% | -28.0% | 0.45 | 0.24 | 1.5x | 37 | 22% |
| Supertrend period=14, mult=3.6 |
3.6% | -44.5% | 0.27 | 0.08 | 1.2x | 25 | 43% |
| Donchian 채널 돌파 entryN=66, exitN=10 |
1.8% | -27.4% | 0.20 | 0.07 | 1.1x | 15 | 14% |
| ROC 모멘텀 n=61, threshold=0.12 |
1.5% | -31.1% | 0.18 | 0.05 | 1.1x | 29 | 17% |
| SMA 크로스오버 fast=12, slow=57 |
1.3% | -36.7% | 0.17 | 0.04 | 1.1x | 25 | 34% |
| EMA 크로스오버 fast=7, slow=35 |
0.1% | -52.1% | 0.12 | 0.00 | 1.0x | 45 | 37% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-2.9% | -55.4% | 0.02 | -0.05 | 0.8x | 109 | 47% |
| MACD fast=16, slow=45, signal=14 |
-6.4% | -53.0% | -0.11 | -0.12 | 0.7x | 79 | 46% |
| Buy and hold | -10.7% | -63.6% | -0.09 | -0.17 | 0.5x | 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