Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Tegma Gestao Logistica S.A. backtest
10 trend-following strategies were compared on the full daily history of Tegma Gestao Logistica S.A.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 16.4%, MDD -39.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.4%, drawdown -91.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.4%, MDD -39.8%, Sharpe 0.80, 44% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.8%, MDD -46.2%, exposure 54%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 15.1%p higher than buy and hold, while drawdown improves by 51.7%p (CAGR 16.4%, MDD -39.8%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=142, threshold=0.11 |
16.4% | -39.8% | 0.80 | 0.41 | 18.4x | 90 | 44% |
| SMA 크로스오버 fast=4, slow=181 |
16.8% | -46.2% | 0.76 | 0.36 | 19.5x | 43 | 54% |
| 볼린저 밴드 돌파 n=35, k=2.1 |
11.8% | -43.9% | 0.66 | 0.27 | 8.5x | 93 | 32% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=29, mult=1.3 |
11.6% | -43.2% | 0.63 | 0.27 | 8.2x | 161 | 36% |
| Donchian 채널 돌파 entryN=110, exitN=54 |
10.5% | -50.5% | 0.57 | 0.21 | 6.7x | 30 | 44% |
| EMA 크로스오버 fast=13, slow=47 |
11.9% | -48.5% | 0.57 | 0.24 | 8.6x | 97 | 55% |
| MACD fast=14, slow=38, signal=18 |
10.3% | -83.2% | 0.49 | 0.12 | 6.5x | 213 | 50% |
| Supertrend period=21, mult=4.5 |
8.8% | -48.2% | 0.46 | 0.18 | 5.0x | 59 | 55% |
| ADX / DI 방향성 period=24, threshold=12 |
8.4% | -62.3% | 0.45 | 0.13 | 4.7x | 243 | 48% |
| Parabolic SAR step=0.025, maxStep=0.3 |
1.6% | -83.7% | 0.20 | 0.02 | 1.4x | 477 | 50% |
| Buy and hold | 1.4% | -91.6% | 0.24 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 142-day return is greater than 11%
- Sell — Sell when the 142-day return drops to 11% or below