Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Empreendimentos Pague Menos SA backtest
10 trend-following strategies were compared on the full daily history of Empreendimentos Pague Menos SA. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.8%, MDD -32.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.9%, drawdown -83.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.8%, MDD -32.0%, Sharpe 0.53, 44% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 27.7%p higher than buy and hold, while drawdown improves by 51.2%p (CAGR 11.8%, MDD -32.0%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=10, slow=26 |
11.8% | -32.0% | 0.53 | 0.37 | 1.9x | 49 | 44% |
| ADX / DI 방향성 period=24, threshold=16 |
9.8% | -32.1% | 0.50 | 0.30 | 1.7x | 48 | 31% |
| Supertrend period=21, mult=3.5 |
9.2% | -34.8% | 0.45 | 0.26 | 1.7x | 26 | 42% |
| EMA 크로스오버 fast=6, slow=23 |
8.4% | -45.5% | 0.42 | 0.18 | 1.6x | 61 | 45% |
| MACD fast=22, slow=53, signal=18 |
7.4% | -44.7% | 0.38 | 0.16 | 1.5x | 53 | 47% |
| 볼린저 밴드 돌파 n=22, k=1.3 |
6.1% | -43.5% | 0.36 | 0.14 | 1.4x | 59 | 32% |
| Parabolic SAR step=0.005, maxStep=0.28 |
6.3% | -43.2% | 0.36 | 0.15 | 1.4x | 53 | 45% |
| Donchian 채널 돌파 entryN=91, exitN=51 |
5.1% | -40.8% | 0.32 | 0.13 | 1.3x | 8 | 36% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=29, mult=1.6 |
4.1% | -39.4% | 0.30 | 0.10 | 1.3x | 36 | 17% |
| ROC 모멘텀 n=25, threshold=0.02 |
3.7% | -39.6% | 0.27 | 0.09 | 1.2x | 112 | 39% |
| Buy and hold | -15.9% | -83.2% | -0.18 | -0.19 | 0.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 10-day average price crosses above the 26-day average
- Sell — Sell (to cash) when the 10-day average falls below the 26-day average