Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Mills Locacao Servicos e Logistica S.A. backtest
10 trend-following strategies were compared on the full daily history of Mills Locacao Servicos e Logistica S.A.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.9%, MDD -35.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.8%, drawdown -95.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.9%, MDD -35.1%, Sharpe 0.64, 16% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 13.5%, MDD -48.0%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 60.1%p (CAGR 9.9%, MDD -35.1%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=15, mult=3.1 |
9.9% | -35.1% | 0.64 | 0.28 | 4.6x | 35 | 16% |
| 볼린저 밴드 돌파 n=52, k=2 |
12.4% | -50.7% | 0.58 | 0.24 | 6.7x | 61 | 35% |
| EMA 크로스오버 fast=27, slow=34 |
13.5% | -48.0% | 0.57 | 0.28 | 7.8x | 65 | 53% |
| ROC 모멘텀 n=35, threshold=-0.02 |
11.2% | -78.7% | 0.49 | 0.14 | 5.6x | 229 | 58% |
| Supertrend period=27, mult=4 |
10.6% | -67.4% | 0.48 | 0.16 | 5.1x | 59 | 53% |
| Donchian 채널 돌파 entryN=84, exitN=38 |
8.3% | -45.4% | 0.47 | 0.18 | 3.7x | 31 | 35% |
| SMA 크로스오버 fast=34, slow=40 |
8.5% | -68.2% | 0.42 | 0.12 | 3.8x | 153 | 52% |
| ADX / DI 방향성 period=14, threshold=25 |
5.1% | -55.9% | 0.34 | 0.09 | 2.3x | 137 | 24% |
| MACD fast=14, slow=22, signal=11 |
5.3% | -75.5% | 0.32 | 0.07 | 2.3x | 270 | 50% |
| Parabolic SAR step=0.005, maxStep=0.3 |
2.2% | -77.9% | 0.23 | 0.03 | 1.4x | 149 | 49% |
| Buy and hold | 1.8% | -95.2% | 0.28 | 0.02 | 1.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 28-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 28-day average