Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Ambev SA backtest
10 trend-following strategies were compared on the full daily history of Ambev SA. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 13.7%, drawdown -57.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.0%, MDD -51.3%, Sharpe 0.71, 89% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=14, exitN=94 |
16.0% | -51.3% | 0.71 | 0.31 | 52.1x | 51 | 89% |
| EMA 크로스오버 fast=68, slow=101 |
12.8% | -63.0% | 0.69 | 0.20 | 24.6x | 37 | 63% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=26, mult=3.9 |
8.9% | -45.0% | 0.67 | 0.20 | 9.6x | 64 | 29% |
| SMA 크로스오버 fast=33, slow=147 |
11.9% | -60.8% | 0.65 | 0.20 | 19.7x | 51 | 62% |
| ADX / DI 방향성 period=27, threshold=33 |
5.0% | -10.4% | 0.64 | 0.48 | 3.7x | 18 | 7% |
| 볼린저 밴드 돌파 n=55, k=2.9 |
7.7% | -37.1% | 0.64 | 0.21 | 7.2x | 44 | 21% |
| ROC 모멘텀 n=130, threshold=0.02 |
8.0% | -75.7% | 0.48 | 0.11 | 7.7x | 227 | 59% |
| Supertrend period=23, mult=4.6 |
5.0% | -60.8% | 0.35 | 0.08 | 3.6x | 145 | 56% |
| Parabolic SAR step=0.005, maxStep=0.08 |
4.5% | -66.2% | 0.32 | 0.07 | 3.2x | 214 | 56% |
| MACD fast=19, slow=28, signal=19 |
0.6% | -62.6% | 0.13 | 0.01 | 1.2x | 340 | 50% |
| Buy and hold | 13.7% | -57.7% | 0.59 | 0.24 | 30.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 14 days
- Sell — Sell when price breaks below the lowest low of the last 94 days