Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Tupy S.A. backtest
10 trend-following strategies were compared on the full daily history of Tupy S.A.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.1%, MDD -36.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR -16.6%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -50.2%, Sharpe 0.42, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.8%p higher than buy and hold, while drawdown improves by 49.8%p (CAGR 2.1%, MDD -36.7%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=13, slow=36 |
9.2% | -50.2% | 0.42 | 0.18 | 10.5x | 173 | 44% |
| 볼린저 밴드 돌파 n=36, k=1.3 |
6.4% | -53.1% | 0.34 | 0.12 | 5.3x | 173 | 35% |
| ROC 모멘텀 n=33, threshold=0.01 |
4.1% | -68.3% | 0.27 | 0.06 | 3.0x | 403 | 43% |
| Parabolic SAR step=0.005, maxStep=0.34 |
3.5% | -61.8% | 0.26 | 0.06 | 2.5x | 167 | 43% |
| MACD fast=17, slow=36, signal=16 |
1.4% | -81.9% | 0.21 | 0.02 | 1.4x | 283 | 49% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=14, mult=2.7 |
2.1% | -36.7% | 0.21 | 0.06 | 1.8x | 88 | 15% |
| Supertrend period=7, mult=1.9 |
-1.0% | -74.7% | 0.15 | -0.01 | 0.8x | 301 | 48% |
| ADX / DI 방향성 period=42, threshold=18 |
-16.9% | -99.8% | 0.11 | -0.17 | 0.0x | 36 | 16% |
| Donchian 채널 돌파 entryN=13, exitN=87 |
-22.6% | -100.0% | 0.06 | -0.23 | 0.0x | 79 | 85% |
| EMA 크로스오버 fast=41, slow=206 |
-19.6% | -99.8% | 0.03 | -0.20 | 0.0x | 41 | 46% |
| Buy and hold | -16.6% | -100.0% | 0.26 | -0.17 | 0.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 13-day average price crosses above the 36-day average
- Sell — Sell (to cash) when the 13-day average falls below the 36-day average