Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Plano & Plano Desenvolvimento Imobiliario Ltda backtest
10 trend-following strategies were compared on the full daily history of Plano & Plano Desenvolvimento Imobiliario Ltda. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.8%, MDD -14.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.5%, drawdown -80.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 29.0%, MDD -47.8%, Sharpe 0.91, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 32.4%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 6.8%, MDD -14.6%, exposure 5%).
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=15, slow=33 |
29.0% | -47.8% | 0.91 | 0.61 | 4.4x | 36 | 48% |
| 볼린저 밴드 돌파 n=56, k=1.8 |
22.3% | -29.0% | 0.83 | 0.77 | 3.3x | 16 | 34% |
| Donchian 채널 돌파 entryN=17, exitN=9 |
22.1% | -28.2% | 0.77 | 0.78 | 3.2x | 34 | 40% |
| EMA 크로스오버 fast=13, slow=142 |
23.0% | -33.2% | 0.77 | 0.69 | 3.4x | 12 | 50% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=8, mult=1.9 |
19.1% | -28.1% | 0.75 | 0.68 | 2.8x | 20 | 33% |
| Supertrend period=10, mult=3.1 |
20.9% | -45.4% | 0.72 | 0.46 | 3.0x | 26 | 49% |
| ROC 모멘텀 n=121, threshold=0.1 |
18.5% | -47.0% | 0.69 | 0.39 | 2.7x | 26 | 40% |
| ADX / DI 방향성 period=30, threshold=29 |
6.8% | -14.6% | 0.65 | 0.47 | 1.5x | 4 | 5% |
| MACD fast=15, slow=52, signal=10 |
14.8% | -50.9% | 0.56 | 0.29 | 2.2x | 67 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
12.9% | -63.9% | 0.52 | 0.20 | 2.0x | 50 | 48% |
| Buy and hold | -3.5% | -80.5% | 0.19 | -0.04 | 0.8x | 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 15-day average price crosses above the 33-day average
- Sell — Sell (to cash) when the 15-day average falls below the 33-day average