Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Grupo Ser Educacional SA backtest
10 trend-following strategies were compared on the full daily history of Grupo Ser Educacional SA. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.1%, MDD -33.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.3%, drawdown -91.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -33.9%, Sharpe 0.50, 27% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 57.9%p (CAGR 7.1%, MDD -33.1%, exposure 26%).
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=60, exitN=19 |
10.4% | -33.9% | 0.50 | 0.31 | 3.5x | 38 | 27% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=26, mult=2.2 |
7.1% | -33.1% | 0.39 | 0.21 | 2.4x | 54 | 26% |
| EMA 크로스오버 fast=7, slow=188 |
7.2% | -53.4% | 0.38 | 0.13 | 2.4x | 25 | 47% |
| 볼린저 밴드 돌파 n=43, k=2.2 |
6.4% | -49.9% | 0.37 | 0.13 | 2.2x | 50 | 26% |
| ROC 모멘텀 n=137, threshold=0.06 |
6.6% | -68.1% | 0.36 | 0.10 | 2.3x | 81 | 46% |
| MACD fast=18, slow=35, signal=19 |
6.5% | -72.6% | 0.36 | 0.09 | 2.2x | 133 | 53% |
| SMA 크로스오버 fast=6, slow=219 |
5.7% | -58.3% | 0.34 | 0.10 | 2.0x | 23 | 47% |
| Supertrend period=9, mult=2.8 |
2.9% | -78.1% | 0.26 | 0.04 | 1.4x | 89 | 51% |
| ADX / DI 방향성 period=15, threshold=31 |
2.3% | -34.2% | 0.22 | 0.07 | 1.3x | 40 | 11% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.6% | -74.6% | 0.17 | -0.01 | 0.9x | 223 | 51% |
| Buy and hold | -2.3% | -91.8% | 0.23 | -0.03 | 0.7x | 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 60 days
- Sell — Sell when price breaks below the lowest low of the last 19 days