Trend-Following Backtester · Guide · backtest 한국어
equity · BR
IRB Brasil Resseguros SA backtest
10 trend-following strategies were compared on the full daily history of IRB Brasil Resseguros SA. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.5%, MDD -38.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.3%, drawdown -98.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.3%, MDD -39.1%, Sharpe 0.61, 47% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 28.7%p higher than buy and hold, while drawdown improves by 59.1%p (CAGR 7.5%, MDD -38.9%, exposure 39%).
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=11, slow=146 |
14.3% | -39.1% | 0.61 | 0.37 | 3.3x | 13 | 47% |
| EMA 크로스오버 fast=17, slow=112 |
13.6% | -50.3% | 0.60 | 0.27 | 3.2x | 17 | 47% |
| Donchian 채널 돌파 entryN=107, exitN=23 |
7.1% | -52.4% | 0.45 | 0.14 | 1.9x | 12 | 28% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=11, mult=3.8 |
6.8% | -44.7% | 0.44 | 0.15 | 1.8x | 18 | 24% |
| ROC 모멘텀 n=119, threshold=0.12 |
7.5% | -38.9% | 0.42 | 0.19 | 1.9x | 62 | 39% |
| 볼린저 밴드 돌파 n=52, k=1.2 |
5.4% | -68.8% | 0.33 | 0.08 | 1.6x | 46 | 39% |
| Supertrend period=23, mult=3.2 |
5.4% | -74.6% | 0.33 | 0.07 | 1.6x | 43 | 47% |
| Parabolic SAR step=0.02, maxStep=0.24 |
4.3% | -75.0% | 0.29 | 0.06 | 1.5x | 178 | 51% |
| ADX / DI 방향성 period=36, threshold=22 |
1.8% | -41.6% | 0.19 | 0.04 | 1.2x | 16 | 15% |
| MACD fast=24, slow=37, signal=14 |
-7.6% | -89.0% | 0.02 | -0.08 | 0.5x | 106 | 52% |
| Buy and hold | -14.3% | -98.2% | 0.01 | -0.15 | 0.2x | 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 11-day average price crosses above the 146-day average
- Sell — Sell (to cash) when the 11-day average falls below the 146-day average