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 20.9%, MDD -29.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.0%, 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 20.9%, MDD -29.6%, exposure 23%.
Return/drawdown alternative: MACD — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 66.7%p (CAGR 20.9%, MDD -29.6%, exposure 23%).
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 |
4.2% | -54.8% | 0.34 | 0.08 | 2.5x | 55 | 23% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=20, mult=1.4 |
3.0% | -38.0% | 0.27 | 0.08 | 1.9x | 78 | 70% |
| MACD fast=17, slow=51, signal=22 |
20.9% | -29.6% | 0.23 | 0.71 | 64.9x | 79 | 23% |
| ROC 모멘텀 n=55, threshold=-0.03 |
10.1% | -86.7% | 0.22 | 0.12 | 8.3x | 91 | 82% |
| Donchian 채널 돌파 entryN=21, exitN=26 |
9.2% | -86.7% | 0.22 | 0.11 | 6.9x | 47 | 79% |
| EMA 크로스오버 fast=28, slow=29 |
1.3% | -57.2% | 0.16 | 0.02 | 1.3x | 50 | 65% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.7% | -48.6% | 0.14 | 0.02 | 1.2x | 83 | 67% |
| Supertrend period=30, mult=3.8 |
-3.1% | -86.7% | 0.14 | -0.04 | 0.5x | 44 | 77% |
| 볼린저 밴드 돌파 n=53, k=1.6 |
-5.5% | -86.7% | 0.03 | -0.06 | 0.3x | 47 | 72% |
| Buy and hold | 8.0% | -90.0% | 0.22 | 0.09 | 5.4x | 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)