Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Lojas Renner S.A. backtest
10 trend-following strategies were compared on the full daily history of Lojas Renner S.A.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 9.9%, MDD -62.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.5%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.3%, MDD -70.3%, Sharpe 0.48, 46% exposure.
CAGR reference leader: MACD — CAGR 9.9%, MDD -62.3%, exposure 58%.
Return/drawdown alternative: MACD — CAGR is 30.8%p higher than buy and hold, while drawdown improves by 29.7%p (CAGR 9.9%, MDD -62.3%, exposure 58%).
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=16, slow=39 |
9.3% | -70.3% | 0.48 | 0.13 | 10.6x | 134 | 46% |
| MACD fast=18, slow=56, signal=17 |
9.9% | -62.3% | 0.43 | 0.16 | 12.4x | 212 | 58% |
| Donchian 채널 돌파 entryN=18, exitN=43 |
-4.1% | -97.6% | 0.29 | -0.04 | 0.3x | 79 | 78% |
| ROC 모멘텀 n=51, threshold=0 |
1.2% | -68.6% | 0.17 | 0.02 | 1.4x | 304 | 47% |
| EMA 크로스오버 fast=24, slow=37 |
-7.9% | -98.0% | 0.17 | -0.08 | 0.1x | 94 | 54% |
| 볼린저 밴드 돌파 n=52, k=2.1 |
-7.6% | -98.2% | 0.16 | -0.08 | 0.1x | 88 | 32% |
| Supertrend period=8, mult=3.5 |
-8.4% | -98.4% | 0.15 | -0.09 | 0.1x | 104 | 47% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=20, mult=2 |
-9.3% | -98.2% | 0.10 | -0.09 | 0.1x | 106 | 37% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-13.5% | -98.6% | -0.05 | -0.14 | 0.0x | 172 | 38% |
| ADX / DI 방향성 period=25, threshold=16 |
-12.6% | -98.4% | -0.07 | -0.13 | 0.0x | 142 | 26% |
| Buy and hold | -21.5% | -100.0% | 0.25 | -0.21 | 0.0x | 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 16-day average price crosses above the 39-day average
- Sell — Sell (to cash) when the 16-day average falls below the 39-day average