Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Dimed S.A. Distribuidora de Medicamentos backtest
10 trend-following strategies were compared on the full daily history of Dimed S.A. Distribuidora de Medicamentos. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.4%, MDD -28.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.9%, drawdown -98.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.3%, MDD -35.7%, Sharpe 0.81, 38% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.5%, MDD -60.8%, exposure 56%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.5%p higher than buy and hold, while drawdown improves by 62.3%p (CAGR 5.4%, MDD -28.4%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=114, exitN=37 |
16.3% | -35.7% | 0.81 | 0.46 | 57.2x | 46 | 38% |
| SMA 크로스오버 fast=35, slow=164 |
17.5% | -60.8% | 0.72 | 0.29 | 74.4x | 40 | 56% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=10, mult=2.8 |
13.2% | -39.1% | 0.71 | 0.34 | 27.7x | 122 | 36% |
| ROC 모멘텀 n=142, threshold=-0.04 |
17.4% | -54.9% | 0.70 | 0.32 | 72.8x | 162 | 61% |
| EMA 크로스오버 fast=26, slow=130 |
15.5% | -55.2% | 0.68 | 0.28 | 47.7x | 43 | 58% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
10.3% | -38.4% | 0.67 | 0.27 | 13.8x | 32 | 20% |
| MACD fast=29, slow=103, signal=24 |
10.9% | -67.3% | 0.52 | 0.16 | 15.7x | 161 | 52% |
| ADX / DI 방향성 period=27, threshold=30 |
5.4% | -28.4% | 0.52 | 0.19 | 4.0x | 44 | 12% |
| Supertrend period=16, mult=5 |
2.8% | -86.0% | 0.24 | 0.03 | 2.1x | 181 | 57% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-5.8% | -97.1% | 0.12 | -0.06 | 0.2x | 334 | 55% |
| Buy and hold | 0.9% | -98.0% | 0.35 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 114 days
- Sell — Sell when price breaks below the lowest low of the last 37 days