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. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.3%, MDD -22.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.8%, drawdown -75.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.4%, MDD -48.9%, Sharpe 0.62, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 26.4%p (CAGR 5.3%, MDD -22.3%, exposure 20%).
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 |
10.4% | -48.9% | 0.62 | 0.21 | 14.1x | 47 | 53% |
| SMA 크로스오버 fast=23, slow=131 |
9.5% | -44.5% | 0.58 | 0.21 | 11.2x | 59 | 50% |
| Donchian 채널 돌파 entryN=58, exitN=52 |
8.6% | -50.5% | 0.55 | 0.17 | 9.0x | 49 | 49% |
| ADX / DI 방향성 period=37, threshold=21 |
4.7% | -19.9% | 0.52 | 0.23 | 3.4x | 32 | 12% |
| 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% | -57.9% | 0.45 | 0.10 | 4.4x | 140 | 29% |
| Supertrend period=19, mult=5 |
5.7% | -63.9% | 0.38 | 0.09 | 4.3x | 63 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
3.3% | -56.3% | 0.26 | 0.06 | 2.4x | 177 | 51% |
| MACD fast=13, slow=56, signal=24 |
-2.1% | -67.7% | -0.02 | -0.03 | 0.6x | 305 | 51% |
| Buy and hold | 4.8% | -75.3% | 0.31 | 0.06 | 3.5x | 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