Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Moura Dubeux Engenharia SA backtest
10 trend-following strategies were compared on the full daily history of Moura Dubeux Engenharia SA. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 20.0%, MDD -24.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.5%, drawdown -76.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 20.0%, MDD -24.7%, Sharpe 0.90, 28% exposure.
CAGR reference leader: Supertrend — CAGR 27.1%, MDD -57.8%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.5%p higher than buy and hold, while drawdown improves by 52.1%p (CAGR 20.0%, MDD -24.7%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=22, k=2.2 |
20.0% | -24.7% | 0.90 | 0.81 | 3.2x | 38 | 28% |
| Supertrend period=27, mult=3.3 |
27.1% | -57.8% | 0.83 | 0.47 | 4.7x | 30 | 49% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=29, mult=1.4 |
17.6% | -27.8% | 0.82 | 0.63 | 2.8x | 50 | 29% |
| ADX / DI 방향성 period=34, threshold=16 |
16.6% | -28.4% | 0.77 | 0.58 | 2.7x | 20 | 31% |
| Donchian 채널 돌파 entryN=20, exitN=10 |
17.7% | -41.1% | 0.70 | 0.43 | 2.9x | 42 | 39% |
| MACD fast=18, slow=59, signal=19 |
15.7% | -63.2% | 0.62 | 0.25 | 2.6x | 68 | 47% |
| ROC 모멘텀 n=25, threshold=0.06 |
14.9% | -54.5% | 0.62 | 0.27 | 2.5x | 122 | 40% |
| SMA 크로스오버 fast=10, slow=58 |
15.8% | -61.3% | 0.61 | 0.26 | 2.6x | 34 | 54% |
| EMA 크로스오버 fast=38, slow=204 |
14.2% | -35.9% | 0.59 | 0.40 | 2.4x | 6 | 48% |
| Parabolic SAR step=0.01, maxStep=0.1 |
12.6% | -61.1% | 0.52 | 0.21 | 2.2x | 84 | 52% |
| Buy and hold | 4.5% | -76.8% | 0.37 | 0.06 | 1.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 22-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 22-day middle average