Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Grupo SBF S.A. backtest
10 trend-following strategies were compared on the full daily history of Grupo SBF S.A.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 21.2%, MDD -15.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.4%, drawdown -87.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 21.2%, MDD -15.4%, Sharpe 1.25, 13% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 21.2%, MDD -50.5%, exposure 35%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 26.6%p higher than buy and hold, while drawdown improves by 72.1%p (CAGR 21.2%, MDD -15.4%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=39, k=3.1 |
21.2% | -15.4% | 1.25 | 1.37 | 4.1x | 6 | 13% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=25, mult=4 |
20.0% | -17.5% | 1.11 | 1.14 | 3.8x | 12 | 17% |
| ROC 모멘텀 n=44, threshold=0.21 |
21.1% | -25.3% | 1.03 | 0.84 | 4.1x | 48 | 22% |
| ADX / DI 방향성 period=22, threshold=31 |
14.4% | -24.7% | 0.89 | 0.58 | 2.7x | 10 | 15% |
| Donchian 채널 돌파 entryN=35, exitN=21 |
21.2% | -50.5% | 0.81 | 0.42 | 4.1x | 22 | 35% |
| Supertrend period=10, mult=3.3 |
14.7% | -61.2% | 0.58 | 0.24 | 2.8x | 36 | 50% |
| SMA 크로스오버 fast=15, slow=26 |
14.6% | -68.8% | 0.56 | 0.21 | 2.7x | 66 | 47% |
| EMA 크로스오버 fast=7, slow=45 |
13.8% | -52.9% | 0.55 | 0.26 | 2.6x | 46 | 46% |
| Parabolic SAR step=0.02, maxStep=0.02 |
8.3% | -52.9% | 0.41 | 0.16 | 1.8x | 38 | 47% |
| MACD fast=19, slow=38, signal=18 |
-0.3% | -67.0% | 0.18 | -0.00 | 1.0x | 86 | 50% |
| Buy and hold | -5.4% | -87.5% | 0.19 | -0.06 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 39-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 39-day middle average