Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Sao Martinho S.A. backtest
10 trend-following strategies were compared on the full daily history of Sao Martinho S.A.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 5.2%, MDD -44.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.8%, drawdown -75.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.8%, MDD -49.5%, Sharpe 0.46, 37% exposure.
CAGR reference leader: Parabolic SAR — CAGR 8.0%, MDD -51.4%, exposure 52%.
Return/drawdown alternative: Supertrend — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 5.2%, MDD -44.3%, exposure 51%).
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=28, k=1.6 |
7.8% | -49.5% | 0.46 | 0.16 | 4.3x | 149 | 37% |
| Parabolic SAR step=0.005, maxStep=0.04 |
8.0% | -51.4% | 0.43 | 0.16 | 4.5x | 141 | 52% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=15, mult=1.8 |
6.7% | -50.9% | 0.43 | 0.13 | 3.6x | 111 | 32% |
| MACD fast=13, slow=59, signal=20 |
6.2% | -58.6% | 0.36 | 0.11 | 3.2x | 219 | 51% |
| Supertrend period=15, mult=2.9 |
5.2% | -44.3% | 0.33 | 0.12 | 2.7x | 125 | 51% |
| ADX / DI 방향성 period=15, threshold=37 |
2.5% | -16.8% | 0.28 | 0.15 | 1.6x | 38 | 8% |
| Donchian 채널 돌파 entryN=30, exitN=76 |
3.3% | -52.5% | 0.26 | 0.06 | 1.9x | 41 | 74% |
| SMA 크로스오버 fast=41, slow=107 |
3.0% | -68.6% | 0.25 | 0.04 | 1.8x | 58 | 53% |
| ROC 모멘텀 n=88, threshold=-0.05 |
-0.8% | -67.8% | 0.11 | -0.01 | 0.8x | 217 | 64% |
| EMA 크로스오버 fast=40, slow=66 |
-2.3% | -72.2% | 0.04 | -0.03 | 0.6x | 63 | 53% |
| Buy and hold | 4.8% | -75.1% | 0.32 | 0.06 | 2.5x | 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 28-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 28-day middle average