Trend-Following Backtester · Guide · backtest 한국어
equity · BR
BB Seguridade Participacoes SA backtest
10 trend-following strategies were compared on the full daily history of BB Seguridade Participacoes SA. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -52.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.7%, MDD -33.1%, Sharpe 0.33, 54% 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=29, exitN=34 |
4.7% | -33.1% | 0.33 | 0.14 | 1.9x | 46 | 54% |
| MACD fast=24, slow=51, signal=29 |
4.4% | -38.4% | 0.32 | 0.11 | 1.8x | 90 | 49% |
| SMA 크로스오버 fast=13, slow=58 |
3.9% | -31.2% | 0.30 | 0.13 | 1.7x | 68 | 54% |
| ROC 모멘텀 n=102, threshold=-0.11 |
2.7% | -58.3% | 0.23 | 0.05 | 1.4x | 65 | 81% |
| Supertrend period=21, mult=4.9 |
2.5% | -43.0% | 0.23 | 0.06 | 1.4x | 38 | 48% |
| ADX / DI 방향성 period=22, threshold=30 |
1.1% | -17.2% | 0.22 | 0.07 | 1.2x | 12 | 5% |
| EMA 크로스오버 fast=19, slow=25 |
1.9% | -43.2% | 0.19 | 0.04 | 1.3x | 82 | 53% |
| 볼린저 밴드 돌파 n=48, k=1.4 |
0.8% | -55.9% | 0.14 | 0.01 | 1.1x | 86 | 41% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=17, mult=2.6 |
-0.3% | -39.3% | 0.04 | -0.01 | 1.0x | 50 | 20% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.5% | -59.0% | -0.08 | -0.06 | 0.6x | 122 | 50% |
| Buy and hold | 6.9% | -52.0% | 0.38 | 0.13 | 2.4x | 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 29 days
- Sell — Sell when price breaks below the lowest low of the last 34 days