Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Construtora Tenda SA backtest
10 trend-following strategies were compared on the full daily history of Construtora Tenda SA. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.7%, MDD -41.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.6%, drawdown -94.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.6%, MDD -64.6%, Sharpe 0.73, 86% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.9%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 8.7%, MDD -41.2%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=22, exitN=59 |
22.6% | -64.6% | 0.73 | 0.35 | 46.0x | 19 | 86% |
| EMA 크로스오버 fast=42, slow=218 |
16.8% | -54.9% | 0.66 | 0.31 | 18.5x | 5 | 78% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=10, mult=1.3 |
14.0% | -55.8% | 0.65 | 0.25 | 11.7x | 104 | 23% |
| MACD fast=15, slow=55, signal=17 |
17.3% | -76.0% | 0.64 | 0.23 | 20.1x | 110 | 69% |
| ROC 모멘텀 n=144, threshold=-0.02 |
15.8% | -52.3% | 0.62 | 0.30 | 15.8x | 51 | 76% |
| ADX / DI 방향성 period=13, threshold=14 |
13.6% | -63.7% | 0.57 | 0.21 | 11.0x | 212 | 32% |
| SMA 크로스오버 fast=30, slow=72 |
13.7% | -58.2% | 0.57 | 0.24 | 11.2x | 41 | 38% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
8.7% | -41.2% | 0.50 | 0.21 | 4.8x | 30 | 18% |
| Supertrend period=9, mult=3.2 |
10.8% | -69.1% | 0.50 | 0.16 | 6.9x | 70 | 32% |
| Parabolic SAR step=0.01, maxStep=0.38 |
10.5% | -71.0% | 0.48 | 0.15 | 6.6x | 148 | 33% |
| Buy and hold | 6.6% | -94.1% | 0.38 | 0.07 | 3.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 22 days
- Sell — Sell when price breaks below the lowest low of the last 59 days