Trend-Following Backtester · Guide · backtest 한국어
etf · BR
BTG Pactual B3 Ibovespa Fundo de Indice backtest
10 trend-following strategies were compared on the full daily history of BTG Pactual B3 Ibovespa Fundo de Indice. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.2%, MDD -12.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.7%, drawdown -23.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -12.4%, Sharpe 0.70, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 11.4%p (CAGR 8.2%, MDD -12.4%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=7, slow=60 |
8.2% | -12.4% | 0.70 | 0.66 | 1.5x | 29 | 54% |
| MACD fast=19, slow=59, signal=27 |
6.5% | -18.1% | 0.60 | 0.36 | 1.4x | 35 | 46% |
| Donchian 채널 돌파 entryN=20, exitN=65 |
6.6% | -26.1% | 0.52 | 0.25 | 1.4x | 15 | 71% |
| EMA 크로스오버 fast=11, slow=192 |
5.7% | -19.7% | 0.49 | 0.29 | 1.3x | 11 | 65% |
| 볼린저 밴드 돌파 n=38, k=2.9 |
2.7% | -6.6% | 0.46 | 0.42 | 1.1x | 8 | 13% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=8, mult=3.4 |
2.0% | -4.9% | 0.43 | 0.41 | 1.1x | 8 | 8% |
| ROC 모멘텀 n=41, threshold=0.03 |
3.7% | -15.1% | 0.39 | 0.24 | 1.2x | 54 | 40% |
| ADX / DI 방향성 period=26, threshold=15 |
1.5% | -14.4% | 0.21 | 0.10 | 1.1x | 26 | 23% |
| Supertrend period=27, mult=4.3 |
1.8% | -16.4% | 0.21 | 0.11 | 1.1x | 24 | 50% |
| Parabolic SAR step=0.01, maxStep=0.2 |
1.7% | -17.8% | 0.20 | 0.10 | 1.1x | 73 | 51% |
| Buy and hold | 7.7% | -23.8% | 0.51 | 0.32 | 1.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 7-day average price crosses above the 60-day average
- Sell — Sell (to cash) when the 7-day average falls below the 60-day average