Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Rede D'Or Sao Luiz SA backtest
10 trend-following strategies were compared on the full daily history of Rede D'Or Sao Luiz SA. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.2%, MDD -21.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.6%, drawdown -73.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.2%, MDD -21.1%, Sharpe 0.76, 16% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.8%p higher than buy and hold, while drawdown improves by 52.7%p (CAGR 10.2%, MDD -21.1%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=8, threshold=39 |
10.2% | -21.1% | 0.76 | 0.48 | 1.7x | 32 | 16% |
| 볼린저 밴드 돌파 n=21, k=1.2 |
7.2% | -33.4% | 0.44 | 0.22 | 1.5x | 61 | 37% |
| MACD fast=12, slow=48, signal=18 |
7.4% | -39.3% | 0.42 | 0.19 | 1.5x | 61 | 46% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=20, mult=1.1 |
6.1% | -30.6% | 0.41 | 0.20 | 1.4x | 61 | 28% |
| Parabolic SAR step=0.005, maxStep=0.08 |
6.7% | -32.8% | 0.39 | 0.20 | 1.4x | 51 | 43% |
| Supertrend period=18, mult=2.1 |
5.9% | -40.5% | 0.37 | 0.15 | 1.4x | 53 | 43% |
| SMA 크로스오버 fast=6, slow=17 |
4.5% | -50.3% | 0.31 | 0.09 | 1.3x | 75 | 44% |
| EMA 크로스오버 fast=39, slow=87 |
0.5% | -41.7% | 0.12 | 0.01 | 1.0x | 10 | 41% |
| Donchian 채널 돌파 entryN=126, exitN=54 |
0.7% | -31.7% | 0.12 | 0.02 | 1.0x | 6 | 25% |
| ROC 모멘텀 n=9, threshold=0.04 |
-1.0% | -35.3% | 0.05 | -0.03 | 0.9x | 147 | 26% |
| Buy and hold | -10.6% | -73.8% | -0.13 | -0.14 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 8-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)