Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Natura Cosmeticos SA backtest
10 trend-following strategies were compared on the full daily history of Natura Cosmeticos SA. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -8.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.1%, drawdown -89.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.9%, MDD -49.9%, Sharpe 0.38, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR 0.2%, MDD -8.5%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=27, slow=209 |
4.9% | -49.9% | 0.38 | 0.10 | 2.9x | 20 | 50% |
| SMA 크로스오버 fast=59, slow=186 |
1.8% | -77.2% | 0.24 | 0.02 | 1.5x | 21 | 53% |
| ROC 모멘텀 n=119, threshold=0.02 |
1.5% | -73.5% | 0.23 | 0.02 | 1.4x | 130 | 51% |
| Keltner 채널 돌파 emaPeriod=130, atrPeriod=22, mult=1.4 |
1.1% | -58.0% | 0.20 | 0.02 | 1.3x | 62 | 47% |
| Donchian 채널 돌파 entryN=18, exitN=51 |
-1.7% | -90.3% | 0.18 | -0.02 | 0.7x | 54 | 71% |
| Supertrend period=31, mult=3.2 |
-1.8% | -86.7% | 0.16 | -0.02 | 0.7x | 82 | 53% |
| ADX / DI 방향성 period=29, threshold=37 |
0.2% | -8.5% | 0.12 | 0.03 | 1.0x | 2 | 1% |
| MACD fast=23, slow=56, signal=23 |
-7.6% | -89.4% | -0.08 | -0.09 | 0.2x | 137 | 50% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-8.2% | -92.3% | -0.11 | -0.09 | 0.1x | 143 | 53% |
| 볼린저 밴드 돌파 n=53, k=1.3 |
-8.8% | -91.9% | -0.16 | -0.10 | 0.1x | 110 | 45% |
| Buy and hold | -0.1% | -89.6% | 0.27 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 27-day EMA crosses above the 209-day EMA
- Sell — Sell when the 27-day EMA falls below the 209-day EMA