Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Ultrapar Participacoes S.A. backtest
10 trend-following strategies were compared on the full daily history of Ultrapar Participacoes S.A.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.6%, MDD -20.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -38.3%, drawdown -100.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.6%, MDD -20.8%, Sharpe 0.54, 20% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.3%, MDD -62.7%, exposure 37%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 44.0%p higher than buy and hold, while drawdown improves by 79.2%p (CAGR 5.6%, MDD -20.8%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=22, mult=3.4 |
5.6% | -20.8% | 0.54 | 0.27 | 3.7x | 28 | 20% |
| 볼린저 밴드 돌파 n=71, k=3.3 |
5.5% | -32.9% | 0.47 | 0.17 | 3.6x | 16 | 15% |
| SMA 크로스오버 fast=34, slow=43 |
6.8% | -57.2% | 0.42 | 0.12 | 4.7x | 105 | 42% |
| EMA 크로스오버 fast=17, slow=32 |
5.8% | -73.0% | 0.38 | 0.08 | 3.8x | 99 | 51% |
| Donchian 채널 돌파 entryN=7, exitN=41 |
-37.9% | -100.0% | 0.35 | -0.38 | 0.0x | 77 | 86% |
| MACD fast=22, slow=32, signal=17 |
5.6% | -43.0% | 0.34 | 0.13 | 3.6x | 170 | 52% |
| ROC 모멘텀 n=157, threshold=0.08 |
7.3% | -62.7% | 0.34 | 0.12 | 5.3x | 111 | 37% |
| Supertrend period=25, mult=3.7 |
-41.1% | -100.0% | 0.21 | -0.41 | 0.0x | 71 | 55% |
| ADX / DI 방향성 period=30, threshold=22 |
-42.6% | -100.0% | 0.10 | -0.43 | 0.0x | 32 | 29% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-43.4% | -100.0% | 0.07 | -0.43 | 0.0x | 117 | 46% |
| Buy and hold | -38.3% | -100.0% | 0.34 | -0.38 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 25-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 25-day average