Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Banco Santander (Brasil) S.A. backtest
9 trend-following strategies were compared on the full daily history of Banco Santander (Brasil) S.A.. 5 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 1.1%, MDD -32.5%).
Results by strategy
5 of 9 beat buy and hold (CAGR -18.2%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.0%, MDD -65.5%, Sharpe 0.31, 38% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.3%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 1.1%, MDD -32.5%, exposure 5%).
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=158, exitN=69 |
5.0% | -65.5% | 0.31 | 0.08 | 3.7x | 28 | 38% |
| SMA 크로스오버 fast=52, slow=63 |
4.6% | -54.4% | 0.30 | 0.08 | 3.3x | 134 | 52% |
| EMA 크로스오버 fast=59, slow=214 |
0.3% | -69.3% | 0.16 | 0.00 | 1.1x | 32 | 49% |
| ADX / DI 방향성 period=24, threshold=39 |
1.1% | -32.5% | 0.15 | 0.03 | 1.3x | 16 | 5% |
| Supertrend period=8, mult=4.8 |
-22.6% | -100.0% | 0.08 | -0.23 | 0.0x | 94 | 54% |
| 볼린저 밴드 돌파 n=53, k=3.2 |
-0.7% | -57.9% | 0.06 | -0.01 | 0.8x | 40 | 18% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=19, mult=3.1 |
-21.6% | -100.0% | 0.03 | -0.22 | 0.0x | 78 | 30% |
| MACD fast=24, slow=59, signal=30 |
-24.6% | -100.0% | 0.01 | -0.25 | 0.0x | 183 | 52% |
| ROC 모멘텀 n=128, threshold=0.08 |
-26.3% | -100.0% | -0.11 | -0.26 | 0.0x | 234 | 35% |
| Buy and hold | -18.2% | -100.0% | 0.28 | -0.18 | 0.0x | 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 158 days
- Sell — Sell when price breaks below the lowest low of the last 69 days