Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Vale S.A. backtest
10 trend-following strategies were compared on the full daily history of Vale S.A.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.9%, MDD -57.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.3%, drawdown -88.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.9%, MDD -57.4%, Sharpe 0.62, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 13.9%, MDD -57.4%, exposure 57%).
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=33, slow=89 |
13.9% | -57.4% | 0.62 | 0.24 | 31.7x | 68 | 57% |
| EMA 크로스오버 fast=24, slow=209 |
11.9% | -59.1% | 0.56 | 0.20 | 20.1x | 43 | 58% |
| Donchian 채널 돌파 entryN=61, exitN=33 |
10.9% | -68.4% | 0.54 | 0.16 | 15.6x | 64 | 47% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=12, mult=2.2 |
9.8% | -57.8% | 0.51 | 0.17 | 12.1x | 94 | 46% |
| ROC 모멘텀 n=84, threshold=0.08 |
8.9% | -55.8% | 0.48 | 0.16 | 9.7x | 228 | 44% |
| 볼린저 밴드 돌파 n=60, k=1.8 |
7.5% | -61.7% | 0.43 | 0.12 | 6.9x | 106 | 39% |
| Supertrend period=29, mult=4.9 |
8.0% | -71.6% | 0.43 | 0.11 | 7.7x | 94 | 52% |
| ADX / DI 방향성 period=36, threshold=19 |
2.6% | -38.0% | 0.26 | 0.07 | 2.0x | 54 | 14% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.8% | -82.3% | 0.16 | 0.01 | 1.2x | 232 | 54% |
| MACD fast=15, slow=52, signal=18 |
0.3% | -86.9% | 0.15 | 0.00 | 1.1x | 313 | 51% |
| Buy and hold | 12.3% | -88.1% | 0.49 | 0.14 | 21.7x | 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 33-day average price crosses above the 89-day average
- Sell — Sell (to cash) when the 33-day average falls below the 89-day average