Trend-Following Backtester · Guide · backtest 한국어
equity · PT
Corticeira Amorim SGPS SA backtest
10 trend-following strategies were compared on the full daily history of Corticeira Amorim SGPS SA. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.7%, MDD -19.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.6%, drawdown -75.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.3%, MDD -48.9%, Sharpe 0.61, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 4.7%, MDD -19.9%, exposure 13%).
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=38, slow=101 |
10.3% | -48.9% | 0.61 | 0.21 | 13.6x | 46 | 53% |
| SMA 크로스오버 fast=23, slow=131 |
9.4% | -44.5% | 0.58 | 0.21 | 10.9x | 58 | 50% |
| Donchian 채널 돌파 entryN=58, exitN=52 |
8.6% | -50.2% | 0.55 | 0.17 | 9.1x | 48 | 49% |
| ADX / DI 방향성 period=37, threshold=21 |
4.7% | -19.9% | 0.52 | 0.24 | 3.4x | 32 | 13% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=18, mult=4 |
5.3% | -22.3% | 0.49 | 0.24 | 3.9x | 40 | 20% |
| 볼린저 밴드 돌파 n=24, k=3.4 |
3.7% | -15.8% | 0.49 | 0.23 | 2.6x | 38 | 8% |
| ROC 모멘텀 n=106, threshold=0.11 |
5.8% | -57.5% | 0.45 | 0.10 | 4.5x | 138 | 29% |
| Supertrend period=19, mult=5 |
5.7% | -63.7% | 0.38 | 0.09 | 4.3x | 62 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
3.1% | -56.3% | 0.25 | 0.05 | 2.2x | 177 | 51% |
| MACD fast=13, slow=56, signal=24 |
-2.3% | -67.7% | -0.03 | -0.03 | 0.5x | 305 | 51% |
| Buy and hold | 4.6% | -75.3% | 0.30 | 0.06 | 3.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 101-day EMA
- Sell — Sell when the 38-day EMA falls below the 101-day EMA