Trend-Following Backtester · Guide · backtest 한국어
etf · BR
XP Malls Fundo Investimento Imobiliario Investor backtest
10 trend-following strategies were compared on the full daily history of XP Malls Fundo Investimento Imobiliario Investor. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.1%, MDD -1.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.7%, drawdown -99.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -4.3%, Sharpe 0.42, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.5%, MDD -99.0%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 94.8%p (CAGR 0.1%, MDD -1.2%, exposure 2%).
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=31, threshold=23 |
1.0% | -4.3% | 0.42 | 0.22 | 1.1x | 2 | 5% |
| SMA 크로스오버 fast=94, slow=253 |
2.5% | -99.0% | 0.40 | 0.03 | 1.2x | 6 | 46% |
| 볼린저 밴드 돌파 n=17, k=3.2 |
0.7% | -2.2% | 0.38 | 0.33 | 1.0x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=17, mult=3.1 |
0.1% | -1.2% | 0.12 | 0.07 | 1.0x | 2 | 2% |
| EMA 크로스오버 fast=9, slow=105 |
-51.6% | -99.1% | -0.37 | -0.52 | 0.0x | 16 | 47% |
| Supertrend period=4, mult=4.7 |
-51.6% | -99.1% | -0.37 | -0.52 | 0.0x | 16 | 43% |
| Donchian 채널 돌파 entryN=59, exitN=42 |
-52.4% | -99.1% | -0.41 | -0.53 | 0.0x | 14 | 41% |
| ROC 모멘텀 n=79, threshold=0 |
-52.7% | -99.2% | -0.42 | -0.53 | 0.0x | 44 | 50% |
| MACD fast=14, slow=30, signal=14 |
-54.9% | -99.4% | -0.53 | -0.55 | 0.0x | 90 | 44% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-56.2% | -99.5% | -0.60 | -0.56 | 0.0x | 114 | 49% |
| Buy and hold | -0.7% | -99.1% | 0.40 | -0.01 | 1.0x | 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, 31-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)