Trend-Following Backtester · Guide · backtest 한국어
equity · BR
M. Dias Branco SA Industria e Comercio de Alimentos backtest
10 trend-following strategies were compared on the full daily history of M. Dias Branco SA Industria e Comercio de Alimentos. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.0%, MDD -18.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.6%, drawdown -72.0%).
Sharpe leader (same as main): Supertrend — CAGR 13.1%, MDD -35.4%, Sharpe 0.65, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 6.0%, MDD -18.2%, exposure 11%).
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=23, mult=4.4 |
13.1% | -35.4% | 0.65 | 0.37 | 11.5x | 48 | 55% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=22, mult=3.8 |
6.0% | -18.2% | 0.58 | 0.33 | 3.2x | 20 | 11% |
| SMA 크로스오버 fast=11, slow=68 |
9.0% | -58.2% | 0.50 | 0.15 | 5.5x | 76 | 51% |
| ADX / DI 방향성 period=22, threshold=21 |
7.0% | -47.0% | 0.49 | 0.15 | 3.8x | 96 | 27% |
| EMA 크로스오버 fast=23, slow=49 |
8.1% | -62.7% | 0.46 | 0.13 | 4.6x | 70 | 52% |
| Parabolic SAR step=0.025, maxStep=0.04 |
7.7% | -65.2% | 0.44 | 0.12 | 4.4x | 202 | 50% |
| Donchian 채널 돌파 entryN=29, exitN=52 |
7.7% | -61.9% | 0.43 | 0.12 | 4.4x | 52 | 60% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
5.6% | -57.6% | 0.37 | 0.10 | 2.9x | 104 | 43% |
| ROC 모멘텀 n=48, threshold=0.01 |
4.7% | -55.3% | 0.32 | 0.08 | 2.5x | 214 | 49% |
| MACD fast=20, slow=41, signal=19 |
-0.3% | -66.0% | 0.11 | -0.00 | 0.9x | 225 | 49% |
| Buy and hold | 4.6% | -72.0% | 0.30 | 0.06 | 2.4x | 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) — 23-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)