Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Irani Papel e Embalagem SA backtest
10 trend-following strategies were compared on the full daily history of Irani Papel e Embalagem SA. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.8%, drawdown -99.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.7%, MDD -57.9%, Sharpe 0.54, 37% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.8%, MDD -73.4%, exposure 52%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=119, exitN=43 |
13.7% | -57.9% | 0.54 | 0.24 | 30.7x | 46 | 37% |
| SMA 크로스오버 fast=15, slow=104 |
13.8% | -73.4% | 0.52 | 0.19 | 31.5x | 77 | 52% |
| EMA 크로스오버 fast=30, slow=60 |
12.6% | -73.6% | 0.49 | 0.17 | 24.0x | 78 | 52% |
| ADX / DI 방향성 period=35, threshold=37 |
8.5% | -62.6% | 0.48 | 0.14 | 8.8x | 26 | 14% |
| 볼린저 밴드 돌파 n=57, k=1.4 |
9.3% | -65.9% | 0.42 | 0.14 | 10.7x | 136 | 38% |
| ROC 모멘텀 n=60, threshold=0.06 |
7.9% | -74.8% | 0.38 | 0.11 | 7.6x | 242 | 38% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=2.8 |
7.6% | -79.3% | 0.38 | 0.10 | 7.0x | 108 | 37% |
| Supertrend period=16, mult=5 |
6.8% | -84.6% | 0.36 | 0.08 | 5.9x | 162 | 50% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-8.8% | -99.7% | 0.32 | -0.09 | 0.1x | 320 | 48% |
| MACD fast=14, slow=29, signal=13 |
5.4% | -75.5% | 0.32 | 0.07 | 4.0x | 392 | 52% |
| Buy and hold | 20.8% | -99.5% | 0.20 | 0.21 | 154.8x | 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 119 days
- Sell — Sell when price breaks below the lowest low of the last 43 days