Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Itau Unibanco Holding S.A. backtest
10 trend-following strategies were compared on the full daily history of Itau Unibanco Holding S.A.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.1%, drawdown -56.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.0%, MDD -58.4%, Sharpe 0.41, 73% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=78, slow=200 |
7.0% | -58.4% | 0.41 | 0.12 | 6.1x | 33 | 73% |
| Donchian 채널 돌파 entryN=38, exitN=83 |
6.9% | -47.5% | 0.40 | 0.14 | 5.9x | 57 | 76% |
| 볼린저 밴드 돌파 n=62, k=1.4 |
4.3% | -36.0% | 0.33 | 0.12 | 3.1x | 130 | 46% |
| SMA 크로스오버 fast=20, slow=60 |
4.7% | -45.6% | 0.32 | 0.10 | 3.4x | 120 | 58% |
| MACD fast=18, slow=35, signal=18 |
3.8% | -47.9% | 0.28 | 0.08 | 2.7x | 300 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=16, mult=3.2 |
3.0% | -31.1% | 0.27 | 0.10 | 2.2x | 108 | 35% |
| Supertrend period=26, mult=4.6 |
3.3% | -56.8% | 0.26 | 0.06 | 2.4x | 130 | 58% |
| ROC 모멘텀 n=149, threshold=-0.01 |
2.9% | -71.5% | 0.24 | 0.04 | 2.1x | 219 | 68% |
| ADX / DI 방향성 period=26, threshold=5 |
1.5% | -73.4% | 0.18 | 0.02 | 1.5x | 414 | 58% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.3% | -60.1% | 0.17 | 0.02 | 1.4x | 218 | 56% |
| Buy and hold | 12.1% | -56.0% | 0.53 | 0.22 | 20.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 78-day EMA crosses above the 200-day EMA
- Sell — Sell when the 78-day EMA falls below the 200-day EMA