Trend-Following Backtester · Guide · backtest 한국어
etf · BR
XP Log Fundo Investimento Imobiliario FII backtest
10 trend-following strategies were compared on the full daily history of XP Log Fundo Investimento Imobiliario FII. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -3.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.6%, drawdown -35.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.9%, MDD -3.0%, Sharpe 0.63, 4% exposure.
CAGR reference leader: Supertrend — CAGR 2.6%, MDD -15.5%, exposure 43%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 0.9%, MDD -3.0%, exposure 4%).
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=27, threshold=28 |
0.9% | -3.0% | 0.63 | 0.31 | 1.1x | 4 | 4% |
| 볼린저 밴드 돌파 n=58, k=2.6 |
2.3% | -8.6% | 0.45 | 0.27 | 1.2x | 8 | 16% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=15, mult=3.6 |
1.4% | -8.0% | 0.43 | 0.17 | 1.1x | 6 | 8% |
| Supertrend period=9, mult=4.5 |
2.6% | -15.5% | 0.34 | 0.17 | 1.2x | 14 | 43% |
| SMA 크로스오버 fast=32, slow=46 |
1.3% | -19.3% | 0.21 | 0.07 | 1.1x | 34 | 41% |
| Donchian 채널 돌파 entryN=98, exitN=77 |
0.5% | -11.5% | 0.11 | 0.04 | 1.0x | 6 | 31% |
| EMA 크로스오버 fast=26, slow=147 |
0.0% | -15.3% | 0.04 | 0.00 | 1.0x | 8 | 34% |
| Parabolic SAR step=0.015, maxStep=0.02 |
-0.2% | -22.2% | 0.02 | -0.01 | 1.0x | 26 | 45% |
| ROC 모멘텀 n=37, threshold=0.01 |
-2.0% | -21.5% | -0.24 | -0.09 | 0.9x | 76 | 32% |
| MACD fast=19, slow=66, signal=19 |
-3.9% | -35.6% | -0.42 | -0.11 | 0.8x | 49 | 45% |
| Buy and hold | -3.6% | -35.9% | -0.19 | -0.10 | 0.8x | 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, 27-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)