Trend-Following Backtester · Guide · backtest 한국어
etf · BR
It Now S&P500 TRN Fundo de Indice backtest
10 trend-following strategies were compared on the full daily history of It Now S&P500 TRN Fundo de Indice. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.2%, MDD -19.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.1%, drawdown -89.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.3%, MDD -22.3%, Sharpe 0.90, 55% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.6%, MDD -28.2%, exposure 70%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 66.9%p (CAGR 8.2%, MDD -19.8%, exposure 46%).
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=76, k=1.6 |
11.3% | -22.3% | 0.90 | 0.51 | 3.5x | 35 | 55% |
| Donchian 채널 돌파 entryN=15, exitN=26 |
11.6% | -28.2% | 0.81 | 0.41 | 3.6x | 57 | 70% |
| Supertrend period=9, mult=3.5 |
9.5% | -24.3% | 0.72 | 0.39 | 2.9x | 75 | 65% |
| ADX / DI 방향성 period=34, threshold=14 |
8.2% | -19.8% | 0.70 | 0.41 | 2.5x | 54 | 46% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=27, mult=1.9 |
7.5% | -24.2% | 0.63 | 0.31 | 2.3x | 62 | 55% |
| Parabolic SAR step=0.005, maxStep=0.24 |
6.3% | -35.9% | 0.50 | 0.18 | 2.0x | 101 | 61% |
| ROC 모멘텀 n=120, threshold=0.07 |
4.3% | -32.3% | 0.38 | 0.13 | 1.6x | 111 | 55% |
| MACD fast=12, slow=43, signal=18 |
4.2% | -34.1% | 0.38 | 0.12 | 1.6x | 139 | 52% |
| EMA 크로스오버 fast=44, slow=111 |
-3.8% | -88.3% | 0.26 | -0.04 | 0.6x | 14 | 72% |
| SMA 크로스오버 fast=22, slow=179 |
-4.8% | -88.6% | 0.23 | -0.05 | 0.6x | 12 | 70% |
| Buy and hold | 0.1% | -89.2% | 0.39 | 0.00 | 1.0x | 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 76-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 76-day middle average