Trend-Following Backtester · Guide · backtest 한국어
equity · PT
Banco Comercial Portugues S.A. backtest
10 trend-following strategies were compared on the full daily history of Banco Comercial Portugues S.A.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.3%, MDD -20.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.9%, drawdown -99.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.1%, MDD -52.1%, Sharpe 0.51, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.1%p higher than buy and hold, while drawdown improves by 47.6%p (CAGR 2.3%, MDD -20.6%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=54, slow=138 |
10.1% | -52.1% | 0.51 | 0.19 | 12.9x | 25 | 47% |
| Donchian 채널 돌파 entryN=101, exitN=78 |
9.2% | -60.4% | 0.49 | 0.15 | 10.4x | 25 | 42% |
| SMA 크로스오버 fast=29, slow=248 |
9.5% | -49.7% | 0.49 | 0.19 | 11.3x | 27 | 46% |
| ROC 모멘텀 n=106, threshold=0.02 |
6.8% | -58.7% | 0.39 | 0.12 | 5.8x | 181 | 46% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=24, mult=2.4 |
5.5% | -48.2% | 0.37 | 0.11 | 4.1x | 95 | 32% |
| 볼린저 밴드 돌파 n=35, k=1.5 |
5.0% | -59.6% | 0.34 | 0.08 | 3.7x | 162 | 33% |
| Supertrend period=13, mult=3.2 |
3.7% | -74.3% | 0.27 | 0.05 | 2.7x | 170 | 44% |
| ADX / DI 방향성 period=29, threshold=29 |
2.3% | -20.6% | 0.27 | 0.11 | 1.8x | 38 | 8% |
| MACD fast=18, slow=26, signal=21 |
-2.2% | -90.9% | 0.05 | -0.02 | 0.5x | 300 | 51% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-4.0% | -96.1% | -0.02 | -0.04 | 0.3x | 596 | 50% |
| Buy and hold | -10.9% | -99.7% | -0.08 | -0.11 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 138-day EMA
- Sell — Sell when the 54-day EMA falls below the 138-day EMA