Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Orizon Valorizacao de Residuos SA backtest
10 trend-following strategies were compared on the full daily history of Orizon Valorizacao de Residuos SA. 0 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 20.5%, MDD -27.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.0%, drawdown -35.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 20.5%, MDD -27.8%, Sharpe 1.05, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 7.4%p (CAGR 20.5%, MDD -27.8%, exposure 45%).
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=15, threshold=19 |
20.5% | -27.8% | 1.05 | 0.74 | 2.8x | 52 | 45% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=21, mult=1.8 |
13.4% | -20.7% | 0.88 | 0.65 | 2.0x | 40 | 29% |
| 볼린저 밴드 돌파 n=34, k=2.8 |
10.1% | -17.9% | 0.86 | 0.56 | 1.7x | 12 | 18% |
| MACD fast=6, slow=37, signal=16 |
15.6% | -42.2% | 0.78 | 0.37 | 2.2x | 91 | 45% |
| Supertrend period=35, mult=4.8 |
15.6% | -28.9% | 0.75 | 0.54 | 2.2x | 18 | 60% |
| Donchian 채널 돌파 entryN=8, exitN=54 |
17.7% | -44.9% | 0.70 | 0.39 | 2.5x | 18 | 86% |
| ROC 모멘텀 n=17, threshold=0.02 |
12.5% | -37.3% | 0.69 | 0.33 | 1.9x | 114 | 44% |
| EMA 크로스오버 fast=93, slow=199 |
16.1% | -35.2% | 0.68 | 0.46 | 2.3x | 5 | 78% |
| Parabolic SAR step=0.01, maxStep=0.32 |
11.0% | -33.2% | 0.58 | 0.33 | 1.8x | 83 | 53% |
| SMA 크로스오버 fast=69, slow=219 |
11.3% | -35.2% | 0.55 | 0.32 | 1.8x | 9 | 62% |
| Buy and hold | 22.0% | -35.2% | 0.78 | 0.63 | 3.0x | 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, 15-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)