Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Companhia de Saneamento do Parana - Sanepar backtest
10 trend-following strategies were compared on the full daily history of Companhia de Saneamento do Parana - Sanepar. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -81.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -63.9%, Sharpe 0.31, 40% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=154 |
5.8% | -63.9% | 0.31 | 0.09 | 3.6x | 30 | 40% |
| EMA 크로스오버 fast=57, slow=176 |
4.4% | -70.5% | 0.28 | 0.06 | 2.6x | 16 | 44% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=19, mult=1.7 |
3.5% | -77.2% | 0.25 | 0.05 | 2.2x | 68 | 34% |
| Donchian 채널 돌파 entryN=29, exitN=27 |
2.7% | -88.9% | 0.25 | 0.03 | 1.8x | 72 | 71% |
| ROC 모멘텀 n=31, threshold=-0.03 |
0.4% | -86.9% | 0.23 | 0.00 | 1.1x | 210 | 79% |
| MACD fast=15, slow=23, signal=17 |
0.6% | -82.4% | 0.21 | 0.01 | 1.1x | 182 | 62% |
| ADX / DI 방향성 period=27, threshold=12 |
1.8% | -78.4% | 0.21 | 0.02 | 1.5x | 126 | 35% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-0.1% | -80.7% | 0.15 | -0.00 | 1.0x | 166 | 40% |
| 볼린저 밴드 돌파 n=39, k=2.1 |
-0.5% | -83.8% | 0.12 | -0.01 | 0.9x | 68 | 27% |
| Supertrend period=24, mult=3.8 |
-1.0% | -80.5% | 0.11 | -0.01 | 0.8x | 64 | 38% |
| Buy and hold | 11.3% | -81.2% | 0.35 | 0.14 | 11.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 52-day average price crosses above the 154-day average
- Sell — Sell (to cash) when the 52-day average falls below the 154-day average