Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Smartfit Escola de Ginastica e Danca SA backtest
10 trend-following strategies were compared on the full daily history of Smartfit Escola de Ginastica e Danca SA. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.4%, MDD -13.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -11.3%, drawdown -69.0%).
Sharpe leader (same as main): MACD — CAGR 10.9%, MDD -29.2%, Sharpe 0.52, 43% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.2%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR 2.4%, MDD -13.0%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=23, slow=52, signal=22 |
10.9% | -29.2% | 0.52 | 0.37 | 1.7x | 38 | 43% |
| ROC 모멘텀 n=130, threshold=0.03 |
7.7% | -27.7% | 0.45 | 0.28 | 1.5x | 22 | 36% |
| SMA 크로스오버 fast=30, slow=33 |
5.3% | -26.0% | 0.33 | 0.20 | 1.3x | 74 | 44% |
| EMA 크로스오버 fast=27, slow=209 |
4.3% | -23.3% | 0.31 | 0.18 | 1.2x | 4 | 36% |
| ADX / DI 방향성 period=30, threshold=22 |
2.4% | -13.0% | 0.27 | 0.18 | 1.1x | 6 | 6% |
| Supertrend period=24, mult=3.2 |
2.7% | -30.0% | 0.24 | 0.09 | 1.1x | 24 | 49% |
| Donchian 채널 돌파 entryN=23, exitN=51 |
2.2% | -34.1% | 0.23 | 0.07 | 1.1x | 16 | 60% |
| 볼린저 밴드 돌파 n=36, k=1.9 |
2.4% | -27.1% | 0.22 | 0.09 | 1.1x | 24 | 26% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=14, mult=2.5 |
1.7% | -19.5% | 0.19 | 0.09 | 1.1x | 14 | 14% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-14.8% | -67.2% | -0.43 | -0.22 | 0.4x | 86 | 45% |
| Buy and hold | -11.3% | -69.0% | -0.08 | -0.16 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (23/52) crosses above its 22-day signal line
- Sell — Sell when the MACD line crosses back below the signal line