Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Rumo SA backtest
10 trend-following strategies were compared on the full daily history of Rumo SA. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.4%, MDD -28.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.2%, drawdown -91.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.8%, MDD -37.3%, Sharpe 0.49, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 54.1%p (CAGR 3.4%, MDD -28.5%, exposure 18%).
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=88, exitN=78 |
8.8% | -37.3% | 0.49 | 0.24 | 2.6x | 10 | 44% |
| SMA 크로스오버 fast=41, slow=207 |
6.1% | -58.6% | 0.36 | 0.10 | 2.0x | 14 | 51% |
| EMA 크로스오버 fast=58, slow=84 |
4.9% | -69.4% | 0.32 | 0.07 | 1.7x | 30 | 54% |
| ROC 모멘텀 n=177, threshold=0.06 |
4.4% | -47.5% | 0.31 | 0.09 | 1.6x | 58 | 43% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=14, mult=3 |
3.4% | -28.5% | 0.31 | 0.12 | 1.5x | 28 | 18% |
| MACD fast=23, slow=33, signal=19 |
1.7% | -59.9% | 0.20 | 0.03 | 1.2x | 127 | 49% |
| ADX / DI 방향성 period=15, threshold=18 |
1.6% | -44.7% | 0.19 | 0.04 | 1.2x | 138 | 33% |
| Supertrend period=23, mult=1.9 |
-1.4% | -82.0% | 0.10 | -0.02 | 0.9x | 143 | 52% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-2.5% | -67.9% | 0.06 | -0.04 | 0.7x | 191 | 51% |
| 볼린저 밴드 돌파 n=36, k=3 |
-0.0% | -29.2% | 0.05 | -0.00 | 1.0x | 14 | 7% |
| Buy and hold | -1.2% | -91.4% | 0.20 | -0.01 | 0.9x | 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 88 days
- Sell — Sell when price breaks below the lowest low of the last 78 days