Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Intelbras SA Industria de Telecomunicacao Eletronica Brasileir backtest
10 trend-following strategies were compared on the full daily history of Intelbras SA Industria de Telecomunicacao Eletronica Brasileir. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.2%, MDD -5.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.6%, drawdown -70.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.3%, MDD -19.6%, Sharpe 0.60, 18% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 51.3%p (CAGR 1.2%, MDD -5.2%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=16, k=2.4 |
8.3% | -19.6% | 0.60 | 0.42 | 1.6x | 24 | 18% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=16, mult=2 |
4.3% | -22.6% | 0.42 | 0.19 | 1.3x | 16 | 12% |
| ROC 모멘텀 n=14, threshold=0.21 |
1.2% | -5.2% | 0.34 | 0.23 | 1.1x | 8 | 2% |
| Supertrend period=21, mult=2.3 |
5.1% | -43.6% | 0.32 | 0.12 | 1.3x | 44 | 50% |
| ADX / DI 방향성 period=9, threshold=37 |
1.6% | -23.0% | 0.19 | 0.07 | 1.1x | 36 | 14% |
| Parabolic SAR step=0.01, maxStep=0.08 |
1.0% | -35.9% | 0.17 | 0.03 | 1.1x | 72 | 45% |
| SMA 크로스오버 fast=16, slow=26 |
0.9% | -43.1% | 0.16 | 0.02 | 1.0x | 58 | 47% |
| Donchian 채널 돌파 entryN=14, exitN=39 |
-4.1% | -65.1% | 0.01 | -0.06 | 0.8x | 25 | 65% |
| EMA 크로스오버 fast=10, slow=38 |
-5.7% | -61.4% | -0.12 | -0.09 | 0.7x | 45 | 47% |
| MACD fast=18, slow=49, signal=8 |
-7.1% | -51.1% | -0.15 | -0.14 | 0.7x | 91 | 46% |
| Buy and hold | -4.6% | -70.9% | 0.07 | -0.06 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 16-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 16-day middle average