Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Hapvida Participacoes e Investimentos SA backtest
10 trend-following strategies were compared on the full daily history of Hapvida Participacoes e Investimentos SA. 10 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 4.3%, MDD -7.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -26.2%, drawdown -97.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.3%, MDD -7.9%, Sharpe 0.61, 5% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.0%, MDD -25.2%, exposure 22%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 30.5%p higher than buy and hold, while drawdown improves by 89.9%p (CAGR 4.3%, MDD -7.9%, exposure 5%).
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=26, threshold=30 |
4.3% | -7.9% | 0.61 | 0.54 | 1.4x | 4 | 5% |
| Donchian 채널 돌파 entryN=92, exitN=26 |
8.0% | -25.2% | 0.55 | 0.32 | 1.9x | 10 | 22% |
| 볼린저 밴드 돌파 n=39, k=1.8 |
5.8% | -43.6% | 0.36 | 0.13 | 1.6x | 42 | 31% |
| Supertrend period=22, mult=3.1 |
5.7% | -55.2% | 0.33 | 0.10 | 1.6x | 38 | 50% |
| EMA 크로스오버 fast=45, slow=266 |
5.3% | -54.2% | 0.33 | 0.10 | 1.5x | 4 | 30% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=23, mult=2 |
3.4% | -41.0% | 0.27 | 0.08 | 1.3x | 32 | 26% |
| MACD fast=22, slow=34, signal=19 |
2.6% | -63.6% | 0.26 | 0.04 | 1.2x | 70 | 50% |
| Parabolic SAR step=0.01, maxStep=0.04 |
2.2% | -53.1% | 0.23 | 0.04 | 1.2x | 76 | 47% |
| SMA 크로스오버 fast=14, slow=38 |
-0.4% | -66.1% | 0.17 | -0.01 | 1.0x | 48 | 48% |
| ROC 모멘텀 n=30, threshold=-0.01 |
-0.0% | -60.4% | 0.17 | -0.00 | 1.0x | 142 | 50% |
| Buy and hold | -26.2% | -97.8% | -0.24 | -0.27 | 0.1x | 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, 26-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)