Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Porto Seguro S.A. backtest
10 trend-following strategies were compared on the full daily history of Porto Seguro S.A.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.0%, MDD -43.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.1%, drawdown -62.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.0%, MDD -52.9%, Sharpe 0.62, 67% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 9.4%p (CAGR 11.0%, MDD -43.7%, exposure 64%).
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=42, slow=180 |
12.0% | -52.9% | 0.62 | 0.23 | 11.9x | 23 | 67% |
| Donchian 채널 돌파 entryN=107, exitN=105 |
11.0% | -43.7% | 0.60 | 0.25 | 9.7x | 19 | 64% |
| Supertrend period=14, mult=4.4 |
10.3% | -49.4% | 0.58 | 0.21 | 8.4x | 68 | 60% |
| 볼린저 밴드 돌파 n=31, k=2.9 |
6.4% | -24.7% | 0.58 | 0.26 | 3.9x | 58 | 20% |
| SMA 크로스오버 fast=54, slow=214 |
10.8% | -44.4% | 0.58 | 0.24 | 9.2x | 25 | 63% |
| ROC 모멘텀 n=122, threshold=-0.03 |
8.9% | -49.1% | 0.50 | 0.18 | 6.4x | 155 | 67% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=11, mult=2.9 |
4.3% | -38.7% | 0.41 | 0.11 | 2.5x | 64 | 19% |
| MACD fast=19, slow=63, signal=13 |
5.9% | -48.3% | 0.39 | 0.12 | 3.5x | 242 | 51% |
| Parabolic SAR step=0.01, maxStep=0.3 |
5.7% | -50.7% | 0.37 | 0.11 | 3.4x | 300 | 53% |
| ADX / DI 방향성 period=27, threshold=7 |
1.7% | -59.9% | 0.19 | 0.03 | 1.5x | 346 | 58% |
| Buy and hold | 13.1% | -62.3% | 0.57 | 0.21 | 14.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 180-day EMA
- Sell — Sell when the 42-day EMA falls below the 180-day EMA