Trend-Following Backtester · Guide · backtest 한국어
equity · BR
TOTVS S.A. backtest
10 trend-following strategies were compared on the full daily history of TOTVS S.A.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.7%, drawdown -51.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.9%, MDD -18.4%, Sharpe 0.51, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.1%, MDD -68.4%, exposure 59%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=35, threshold=32 |
2.9% | -18.4% | 0.51 | 0.16 | 1.8x | 8 | 4% |
| SMA 크로스오버 fast=28, slow=130 |
9.1% | -68.4% | 0.46 | 0.13 | 5.9x | 52 | 59% |
| Donchian 채널 돌파 entryN=49, exitN=38 |
7.5% | -57.6% | 0.42 | 0.13 | 4.3x | 52 | 53% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=16, mult=4 |
4.9% | -43.0% | 0.42 | 0.11 | 2.6x | 26 | 18% |
| EMA 크로스오버 fast=12, slow=52 |
6.6% | -59.3% | 0.38 | 0.11 | 3.6x | 110 | 59% |
| Supertrend period=8, mult=3.8 |
6.4% | -63.3% | 0.37 | 0.10 | 3.5x | 78 | 61% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
2.5% | -28.8% | 0.31 | 0.09 | 1.6x | 12 | 8% |
| ROC 모멘텀 n=142, threshold=0.07 |
4.3% | -65.0% | 0.30 | 0.07 | 2.3x | 162 | 47% |
| MACD fast=18, slow=67, signal=29 |
3.2% | -58.0% | 0.25 | 0.05 | 1.9x | 173 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.6% | -71.3% | 0.19 | 0.02 | 1.4x | 183 | 54% |
| Buy and hold | 13.7% | -51.5% | 0.54 | 0.27 | 13.7x | 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, 35-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)