Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Hidrovias do Brasil SA backtest
10 trend-following strategies were compared on the full daily history of Hidrovias do Brasil SA. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.5%, MDD -12.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.8%, drawdown -77.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.9%, MDD -18.5%, Sharpe 0.89, 9% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.7%p higher than buy and hold, while drawdown improves by 58.6%p (CAGR 5.5%, MDD -12.1%, exposure 4%).
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=22, threshold=28 |
11.9% | -18.5% | 0.89 | 0.65 | 1.9x | 4 | 9% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=11, mult=2.6 |
5.5% | -12.1% | 0.60 | 0.46 | 1.4x | 4 | 4% |
| 볼린저 밴드 돌파 n=53, k=1.7 |
7.8% | -26.9% | 0.47 | 0.29 | 1.6x | 16 | 25% |
| EMA 크로스오버 fast=16, slow=184 |
4.4% | -39.7% | 0.30 | 0.11 | 1.3x | 8 | 35% |
| ROC 모멘텀 n=66, threshold=0.11 |
3.9% | -37.6% | 0.30 | 0.10 | 1.3x | 64 | 21% |
| SMA 크로스오버 fast=24, slow=183 |
3.9% | -34.9% | 0.29 | 0.11 | 1.3x | 8 | 33% |
| Donchian 채널 돌파 entryN=49, exitN=76 |
0.1% | -46.7% | 0.15 | 0.00 | 1.0x | 8 | 50% |
| Supertrend period=12, mult=4.8 |
-0.6% | -52.2% | 0.12 | -0.01 | 1.0x | 15 | 47% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-1.4% | -42.1% | 0.11 | -0.03 | 0.9x | 138 | 47% |
| MACD fast=13, slow=52, signal=16 |
-11.4% | -68.5% | -0.23 | -0.17 | 0.5x | 78 | 48% |
| Buy and hold | -13.8% | -77.1% | -0.11 | -0.18 | 0.4x | 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, 22-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)