Trend-Following Backtester · Guide · backtest 한국어
etf · BR
Patria Log - Fundo de Investimento Imobiliario - Responsabilidade Limitada Cotas backtest
10 trend-following strategies were compared on the full daily history of Patria Log - Fundo de Investimento Imobiliario - Responsabilidade Limitada Cotas. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.4%, drawdown -47.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -38.3%, Sharpe 0.26, 17% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=16, threshold=29 |
1.7% | -38.3% | 0.26 | 0.05 | 1.3x | 70 | 17% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
1.2% | -20.5% | 0.25 | 0.06 | 1.2x | 20 | 11% |
| Donchian 채널 돌파 entryN=3, exitN=102 |
0.1% | -44.6% | 0.09 | 0.00 | 1.0x | 50 | 94% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=10, mult=4 |
0.2% | -23.6% | 0.06 | 0.01 | 1.0x | 26 | 13% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-0.5% | -39.1% | 0.02 | -0.01 | 0.9x | 156 | 48% |
| ROC 모멘텀 n=85, threshold=0.23 |
-0.0% | -17.1% | 0.00 | -0.00 | 1.0x | 6 | 1% |
| SMA 크로스오버 fast=48, slow=204 |
-1.7% | -50.1% | -0.03 | -0.03 | 0.8x | 32 | 52% |
| EMA 크로스오버 fast=16, slow=163 |
-2.2% | -53.1% | -0.10 | -0.04 | 0.7x | 50 | 52% |
| Supertrend period=29, mult=2.7 |
-2.5% | -47.1% | -0.13 | -0.05 | 0.7x | 120 | 48% |
| MACD fast=19, slow=53, signal=14 |
-3.1% | -51.5% | -0.20 | -0.06 | 0.6x | 162 | 48% |
| Buy and hold | 2.4% | -47.1% | 0.22 | 0.05 | 1.4x | 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, 16-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)