Trend-Following Backtester · Guide · backtest 한국어
equity · BR
YDUQS Participacoes SA backtest
10 trend-following strategies were compared on the full daily history of YDUQS Participacoes SA. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.2%, MDD -27.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.2%, drawdown -88.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.2%, MDD -27.9%, Sharpe 0.81, 9% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.0%, MDD -48.8%, exposure 40%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 60.5%p (CAGR 9.2%, MDD -27.9%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=24, k=3.1 |
9.2% | -27.9% | 0.81 | 0.33 | 4.9x | 26 | 9% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=3.9 |
13.6% | -30.1% | 0.78 | 0.45 | 10.0x | 24 | 23% |
| Donchian 채널 돌파 entryN=113, exitN=63 |
14.0% | -48.8% | 0.66 | 0.29 | 10.6x | 20 | 40% |
| ROC 모멘텀 n=147, threshold=0.05 |
13.4% | -42.9% | 0.61 | 0.31 | 9.6x | 84 | 46% |
| ADX / DI 방향성 period=42, threshold=17 |
7.8% | -32.6% | 0.54 | 0.24 | 3.9x | 24 | 18% |
| SMA 크로스오버 fast=10, slow=190 |
8.7% | -66.4% | 0.44 | 0.13 | 4.5x | 38 | 49% |
| EMA 크로스오버 fast=33, slow=114 |
5.9% | -73.0% | 0.35 | 0.08 | 2.8x | 30 | 48% |
| MACD fast=8, slow=31, signal=13 |
1.0% | -67.8% | 0.20 | 0.02 | 1.2x | 311 | 49% |
| Supertrend period=8, mult=5 |
0.3% | -83.2% | 0.17 | 0.00 | 1.1x | 54 | 54% |
| Parabolic SAR step=0.035, maxStep=0.32 |
-1.0% | -77.9% | 0.14 | -0.01 | 0.8x | 533 | 50% |
| Buy and hold | 0.2% | -88.4% | 0.25 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 24-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 24-day middle average