Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Suzano S.A. backtest
10 trend-following strategies were compared on the full daily history of Suzano S.A.. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 21.1%, MDD -29.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.1%, drawdown -90.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.1%, MDD -23.4%, Sharpe 0.50, 52% exposure.
CAGR reference leader: MACD — CAGR 21.1%, MDD -29.6%, exposure 24%.
Return/drawdown alternative: MACD — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 66.7%p (CAGR 21.1%, MDD -29.6%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=40, threshold=26 |
5.1% | -23.4% | 0.50 | 0.22 | 3.0x | 10 | 52% |
| SMA 크로스오버 fast=17, slow=48 |
4.4% | -55.8% | 0.35 | 0.08 | 2.6x | 55 | 23% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=20, mult=1.4 |
3.0% | -38.0% | 0.27 | 0.08 | 1.9x | 79 | 70% |
| MACD fast=17, slow=51, signal=22 |
21.1% | -29.6% | 0.23 | 0.71 | 67.8x | 79 | 24% |
| ROC 모멘텀 n=55, threshold=-0.03 |
10.1% | -86.7% | 0.22 | 0.12 | 8.4x | 93 | 82% |
| Donchian 채널 돌파 entryN=21, exitN=26 |
9.4% | -86.7% | 0.22 | 0.11 | 7.2x | 47 | 80% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.9% | -50.9% | 0.15 | 0.02 | 1.2x | 83 | 67% |
| EMA 크로스오버 fast=28, slow=29 |
1.1% | -57.6% | 0.15 | 0.02 | 1.3x | 53 | 65% |
| Supertrend period=30, mult=3.8 |
-3.0% | -86.7% | 0.14 | -0.03 | 0.5x | 45 | 77% |
| 볼린저 밴드 돌파 n=53, k=1.6 |
-5.6% | -86.7% | 0.02 | -0.06 | 0.3x | 49 | 72% |
| Buy and hold | 8.1% | -90.0% | 0.22 | 0.09 | 5.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 40-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)