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 7.1%, drawdown -94.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.1%, MDD -64.6%, Sharpe 0.74, 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 |
23.1% | -64.6% | 0.74 | 0.36 | 50.2x | 19 | 86% |
| EMA 크로스오버 fast=42, slow=218 |
17.3% | -54.9% | 0.67 | 0.31 | 20.2x | 5 | 78% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=10, mult=1.3 |
13.9% | -55.8% | 0.65 | 0.25 | 11.7x | 104 | 23% |
| ROC 모멘텀 n=144, threshold=-0.02 |
16.3% | -52.3% | 0.63 | 0.31 | 17.3x | 51 | 76% |
| MACD fast=15, slow=55, signal=17 |
16.8% | -76.0% | 0.62 | 0.22 | 18.6x | 113 | 69% |
| SMA 크로스오버 fast=30, slow=72 |
14.3% | -58.2% | 0.58 | 0.25 | 12.5x | 42 | 38% |
| ADX / DI 방향성 period=13, threshold=14 |
13.3% | -63.7% | 0.56 | 0.21 | 10.6x | 216 | 32% |
| 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 |
10.7% | -69.1% | 0.49 | 0.15 | 6.8x | 71 | 32% |
| Parabolic SAR step=0.01, maxStep=0.38 |
10.7% | -71.0% | 0.48 | 0.15 | 6.8x | 149 | 33% |
| Buy and hold | 7.1% | -94.1% | 0.39 | 0.08 | 3.7x | 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