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. 1 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 0.8%, MDD -4.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.1%, drawdown -99.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -4.3%, Sharpe 0.33, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 94.8%p (CAGR 0.8%, MDD -4.3%, exposure 5%).
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=36, threshold=22 |
0.8% | -4.3% | 0.33 | 0.18 | 1.0x | 2 | 5% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
-0.0% | -7.3% | -0.01 | -0.01 | 1.0x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=23, mult=3.6 |
-1.4% | -8.9% | -0.28 | -0.16 | 0.9x | 12 | 13% |
| SMA 크로스오버 fast=56, slow=91 |
-52.1% | -99.1% | -0.35 | -0.53 | 0.0x | 14 | 47% |
| EMA 크로스오버 fast=13, slow=79 |
-52.8% | -99.1% | -0.38 | -0.53 | 0.0x | 18 | 50% |
| Supertrend period=24, mult=4.1 |
-53.2% | -99.2% | -0.40 | -0.54 | 0.0x | 18 | 58% |
| ROC 모멘텀 n=77, threshold=0 |
-53.5% | -99.2% | -0.42 | -0.54 | 0.0x | 46 | 51% |
| Donchian 채널 돌파 entryN=69, exitN=20 |
-53.4% | -99.1% | -0.42 | -0.54 | 0.0x | 16 | 31% |
| MACD fast=19, slow=30, signal=15 |
-55.3% | -99.4% | -0.51 | -0.56 | 0.0x | 81 | 46% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-57.1% | -99.5% | -0.61 | -0.57 | 0.0x | 112 | 50% |
| Buy and hold | 0.1% | -99.1% | 0.40 | 0.00 | 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, 36-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)