Trend-Following Backtester · Guide · backtest 한국어
etf · BR
Kinea Rendimentos Imobiliarios Fundo de Investimento Imobiliario - FII Cotas backtest
10 trend-following strategies were compared on the full daily history of Kinea Rendimentos Imobiliarios Fundo de Investimento Imobiliario - FII Cotas. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.4%, drawdown -31.6%).
Sharpe leader (same as main): Supertrend — CAGR -0.0%, MDD -19.8%, Sharpe 0.04, 67% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 0.0%, MDD -0.5%, exposure 0%.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=5, mult=4.8 |
-0.0% | -19.8% | 0.04 | -0.00 | 1.0x | 17 | 67% |
| ROC 모멘텀 n=45, threshold=0.1 |
0.0% | -0.5% | 0.01 | 0.00 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=59, slow=168 |
-0.3% | -23.7% | -0.01 | -0.01 | 1.0x | 15 | 56% |
| Donchian 채널 돌파 entryN=92, exitN=76 |
-0.4% | -22.4% | -0.01 | -0.02 | 0.9x | 11 | 58% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=16, mult=2.6 |
-0.0% | -1.9% | -0.04 | -0.02 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=48, slow=186 |
-0.7% | -30.5% | -0.05 | -0.02 | 0.9x | 15 | 56% |
| ADX / DI 방향성 period=21, threshold=28 |
-0.3% | -3.9% | -0.21 | -0.07 | 1.0x | 8 | 2% |
| 볼린저 밴드 돌파 n=15, k=3 |
-0.6% | -10.5% | -0.25 | -0.05 | 0.9x | 12 | 3% |
| MACD fast=21, slow=45, signal=20 |
-8.2% | -64.5% | -1.05 | -0.13 | 0.4x | 144 | 49% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-10.5% | -74.2% | -1.34 | -0.14 | 0.3x | 202 | 49% |
| Buy and hold | 0.4% | -31.6% | 0.10 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 5-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)