Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Grendene S.A. backtest
10 trend-following strategies were compared on the full daily history of Grendene S.A.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.6%, MDD -22.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.2%, drawdown -71.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.6%, MDD -22.5%, Sharpe 0.66, 9% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 7.0%, MDD -41.3%, exposure 27%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 49.2%p (CAGR 5.6%, MDD -22.5%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=27 |
5.6% | -22.5% | 0.66 | 0.25 | 3.2x | 22 | 9% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=26, mult=3.3 |
7.0% | -41.3% | 0.51 | 0.17 | 4.4x | 38 | 27% |
| Donchian 채널 돌파 entryN=59, exitN=51 |
6.8% | -53.2% | 0.44 | 0.13 | 4.2x | 34 | 39% |
| 볼린저 밴드 돌파 n=54, k=2.8 |
4.0% | -37.0% | 0.37 | 0.11 | 2.3x | 36 | 17% |
| ROC 모멘텀 n=80, threshold=0.12 |
4.6% | -53.8% | 0.36 | 0.09 | 2.6x | 146 | 25% |
| EMA 크로스오버 fast=27, slow=50 |
5.0% | -57.4% | 0.34 | 0.09 | 2.9x | 82 | 45% |
| SMA 크로스오버 fast=10, slow=155 |
4.9% | -65.9% | 0.34 | 0.07 | 2.8x | 52 | 43% |
| Supertrend period=24, mult=5 |
1.0% | -63.6% | 0.16 | 0.02 | 1.3x | 56 | 43% |
| MACD fast=19, slow=49, signal=15 |
-3.7% | -80.3% | -0.05 | -0.05 | 0.4x | 237 | 49% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-7.7% | -91.9% | -0.24 | -0.08 | 0.2x | 348 | 47% |
| Buy and hold | -0.2% | -71.6% | 0.16 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)