Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Telefonica Brasil S.A. backtest
10 trend-following strategies were compared on the full daily history of Telefonica Brasil S.A.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 3.8%, drawdown -56.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.0%, MDD -17.2%, Sharpe 0.36, 3% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.2%, MDD -56.7%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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=25, threshold=39 |
2.0% | -17.2% | 0.36 | 0.12 | 1.7x | 6 | 3% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
4.2% | -56.7% | 0.29 | 0.07 | 3.0x | 3 | 100% |
| SMA 크로스오버 fast=58, slow=176 |
1.8% | -43.6% | 0.19 | 0.04 | 1.6x | 42 | 56% |
| EMA 크로스오버 fast=42, slow=137 |
0.2% | -51.4% | 0.12 | 0.00 | 1.0x | 46 | 56% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
0.6% | -29.4% | 0.12 | 0.02 | 1.2x | 20 | 6% |
| Donchian 채널 돌파 entryN=72, exitN=71 |
-1.7% | -66.0% | 0.03 | -0.03 | 0.6x | 44 | 53% |
| Supertrend period=8, mult=5 |
-3.6% | -87.1% | -0.05 | -0.04 | 0.4x | 82 | 59% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=18, mult=3.4 |
-0.8% | -35.8% | -0.06 | -0.02 | 0.8x | 40 | 8% |
| MACD fast=28, slow=34, signal=30 |
-5.4% | -88.9% | -0.16 | -0.06 | 0.2x | 249 | 49% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-8.7% | -95.7% | -0.33 | -0.09 | 0.1x | 230 | 48% |
| Buy and hold | 3.8% | -56.7% | 0.28 | 0.07 | 2.7x | 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, 25-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)