Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Log Commercial Properties e Participacoes SA backtest
10 trend-following strategies were compared on the full daily history of Log Commercial Properties e Participacoes SA. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.8%, MDD -12.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.5%, drawdown -65.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.4%, MDD -50.0%, Sharpe 0.66, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 15.6%p (CAGR 5.8%, MDD -12.4%, exposure 9%).
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=35, slow=54 |
14.4% | -50.0% | 0.66 | 0.29 | 2.8x | 36 | 50% |
| 볼린저 밴드 돌파 n=31, k=3.4 |
5.8% | -12.4% | 0.56 | 0.47 | 1.5x | 8 | 9% |
| Donchian 채널 돌파 entryN=13, exitN=40 |
9.8% | -48.7% | 0.46 | 0.20 | 2.1x | 26 | 71% |
| MACD fast=19, slow=52, signal=20 |
8.5% | -45.4% | 0.43 | 0.19 | 1.9x | 68 | 49% |
| ADX / DI 방향성 period=16, threshold=32 |
4.1% | -26.4% | 0.38 | 0.16 | 1.4x | 16 | 11% |
| EMA 크로스오버 fast=10, slow=57 |
4.5% | -50.8% | 0.30 | 0.09 | 1.4x | 44 | 50% |
| Supertrend period=8, mult=2.1 |
3.3% | -61.7% | 0.26 | 0.05 | 1.3x | 74 | 49% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=17, mult=1.9 |
2.1% | -41.2% | 0.20 | 0.05 | 1.2x | 36 | 28% |
| ROC 모멘텀 n=53, threshold=-0.01 |
1.0% | -53.4% | 0.17 | 0.02 | 1.1x | 116 | 53% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-8.3% | -69.7% | -0.16 | -0.12 | 0.5x | 143 | 51% |
| Buy and hold | 4.5% | -65.6% | 0.33 | 0.07 | 1.4x | 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 35-day average price crosses above the 54-day average
- Sell — Sell (to cash) when the 35-day average falls below the 54-day average