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 19.7%, MDD -24.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.3%, drawdown -76.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.7%, MDD -24.7%, Sharpe 0.89, 28% exposure.
CAGR reference leader: Supertrend — CAGR 26.7%, MDD -57.8%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.4%p higher than buy and hold, while drawdown improves by 52.1%p (CAGR 19.7%, 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 |
19.7% | -24.7% | 0.89 | 0.80 | 3.2x | 38 | 28% |
| Supertrend period=27, mult=3.3 |
26.7% | -57.8% | 0.83 | 0.46 | 4.7x | 30 | 49% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=29, mult=1.4 |
17.3% | -27.8% | 0.81 | 0.62 | 2.8x | 50 | 28% |
| ADX / DI 방향성 period=34, threshold=16 |
16.4% | -28.4% | 0.76 | 0.58 | 2.7x | 20 | 31% |
| Donchian 채널 돌파 entryN=20, exitN=10 |
17.4% | -41.1% | 0.69 | 0.42 | 2.9x | 42 | 38% |
| ROC 모멘텀 n=25, threshold=0.06 |
14.7% | -54.5% | 0.61 | 0.27 | 2.5x | 122 | 39% |
| MACD fast=18, slow=59, signal=19 |
15.3% | -63.2% | 0.61 | 0.24 | 2.5x | 69 | 47% |
| SMA 크로스오버 fast=10, slow=58 |
15.6% | -61.3% | 0.60 | 0.25 | 2.6x | 34 | 53% |
| EMA 크로스오버 fast=38, slow=204 |
14.0% | -35.9% | 0.58 | 0.39 | 2.4x | 6 | 48% |
| Parabolic SAR step=0.01, maxStep=0.1 |
12.3% | -61.1% | 0.51 | 0.20 | 2.1x | 85 | 51% |
| Buy and hold | 4.3% | -76.8% | 0.36 | 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