Trend-Following Backtester · Guide · backtest 한국어

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IT Now IMA-B5 P2 Fundo de Indice backtest

10 trend-following strategies were compared on the full daily history of IT Now IMA-B5 P2 Fundo de Indice. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.

Data 2020-11-16 ~ 2026-07-31daily bars 1,421 (5.7 years)Costs 0.5%Venue BMFBOVESPAMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 9.1%, drawdown -28.3%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.9%, MDD -29.0%, Sharpe 0.43, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 100%
n=4, threshold=-0.08
8.9%-29.0%0.430.301.6x3100%
Donchian 채널 돌파
Hold-like · Exposure 99%
entryN=6, exitN=105
8.8%-29.0%0.430.301.6x399%
Parabolic SAR
step=0.015, maxStep=0.18
5.2%-28.3%0.310.181.3x2990%
MACD
fast=6, slow=31, signal=17
4.8%-29.0%0.290.171.3x2927%
SMA 크로스오버
fast=60, slow=101
2.3%-29.3%0.200.081.1x336%
EMA 크로스오버
fast=39, slow=87
2.0%-29.1%0.190.071.1x392%
ADX / DI 방향성
period=24, threshold=29
1.2%-29.0%0.160.041.1x581%
Supertrend
period=19, mult=5
1.0%-29.1%0.150.031.1x793%
Keltner 채널 돌파
emaPeriod=47, atrPeriod=12, mult=2.5
0.4%-29.1%0.120.011.0x984%
볼린저 밴드 돌파
n=57, k=2.4
-4.7%-30.1%-0.33-0.160.8x518%
Buy and hold9.1%-28.3%0.440.321.6x1100%
1x 2021 2022 2023 2024 2025 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -7% -15% -22% -29% 2021 2022 2023 2024 2025 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -29.0% (2025-10-24 → 2025-11-03), recovered after 76 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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