Trend-Following Backtester · Guide · backtest 한국어
equity · BR
MRV Engenharia e Participacoes S.A. backtest
10 trend-following strategies were compared on the full daily history of MRV Engenharia e Participacoes S.A.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.1%, MDD -31.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.7%, drawdown -85.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.1%, MDD -31.2%, Sharpe 0.43, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 53.9%p (CAGR 5.1%, MDD -31.2%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=16, threshold=30 |
5.1% | -31.2% | 0.43 | 0.16 | 2.6x | 44 | 10% |
| MACD fast=14, slow=59, signal=19 |
4.8% | -65.9% | 0.31 | 0.07 | 2.4x | 197 | 49% |
| SMA 크로스오버 fast=43, slow=66 |
4.2% | -62.3% | 0.29 | 0.07 | 2.2x | 82 | 49% |
| 볼린저 밴드 돌파 n=42, k=2.2 |
2.7% | -51.3% | 0.23 | 0.05 | 1.6x | 86 | 28% |
| Donchian 채널 돌파 entryN=100, exitN=8 |
2.4% | -58.0% | 0.23 | 0.04 | 1.6x | 54 | 13% |
| Supertrend period=15, mult=2.6 |
2.0% | -77.9% | 0.22 | 0.03 | 1.5x | 143 | 46% |
| ROC 모멘텀 n=65, threshold=0.01 |
-0.2% | -74.5% | 0.15 | -0.00 | 1.0x | 212 | 46% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=22, mult=1.4 |
0.4% | -57.6% | 0.15 | 0.01 | 1.1x | 143 | 34% |
| EMA 크로스오버 fast=17, slow=123 |
-2.1% | -76.6% | 0.07 | -0.03 | 0.7x | 58 | 47% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-5.5% | -86.5% | -0.01 | -0.06 | 0.3x | 347 | 48% |
| Buy and hold | -2.7% | -85.2% | 0.20 | -0.03 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 16-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)