Trend-Following Backtester · Guide · backtest 한국어
etf · BR
FII - Classe de Investimento ETF Bradesco IMA-B - RL backtest
10 trend-following strategies were compared on the full daily history of FII - Classe de Investimento ETF Bradesco IMA-B - RL. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.0%, drawdown -25.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.6%, MDD -2.0%, Sharpe 0.55, 5% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.3%, MDD -25.1%, exposure 95%.
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=22, threshold=33 |
0.6% | -2.0% | 0.55 | 0.30 | 1.0x | 2 | 5% |
| ROC 모멘텀 n=77, threshold=-0.07 |
6.3% | -25.1% | 0.38 | 0.25 | 1.5x | 5 | 95% |
| Donchian 채널 돌파 entryN=16, exitN=42 |
5.6% | -25.9% | 0.35 | 0.22 | 1.4x | 11 | 88% |
| MACD fast=16, slow=38, signal=14 |
5.4% | -25.9% | 0.34 | 0.21 | 1.4x | 20 | 74% |
| SMA 크로스오버 fast=49, slow=202 |
1.6% | -28.1% | 0.17 | 0.06 | 1.1x | 5 | 27% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=19, mult=1.9 |
-0.6% | -26.7% | 0.04 | -0.02 | 1.0x | 20 | 27% |
| Parabolic SAR step=0.025, maxStep=0.2 |
-0.8% | -31.7% | 0.04 | -0.03 | 0.9x | 48 | 28% |
| Supertrend period=24, mult=3.9 |
-0.7% | -26.3% | 0.04 | -0.03 | 1.0x | 25 | 83% |
| EMA 크로스오버 fast=50, slow=197 |
-3.9% | -33.1% | -0.32 | -0.12 | 0.8x | 7 | 32% |
| 볼린저 밴드 돌파 n=51, k=3.2 |
-3.9% | -28.2% | -0.34 | -0.14 | 0.8x | 6 | 9% |
| Buy and hold | 6.0% | -25.1% | 0.37 | 0.24 | 1.5x | 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 ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)