Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Grupo Casas Bahia S.A. backtest
10 trend-following strategies were compared on the full daily history of Grupo Casas Bahia S.A.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.3%, MDD -75.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.6%, drawdown -99.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.4%, MDD -77.1%, Sharpe 0.53, 45% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 27.0%p higher than buy and hold, while drawdown improves by 22.8%p (CAGR 10.3%, MDD -75.5%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=10, threshold=16 |
14.4% | -77.1% | 0.53 | 0.19 | 35.9x | 320 | 45% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=7, mult=1.1 |
13.6% | -78.3% | 0.52 | 0.17 | 29.7x | 194 | 46% |
| Donchian 채널 돌파 entryN=33, exitN=8 |
10.1% | -77.5% | 0.48 | 0.13 | 12.9x | 126 | 43% |
| SMA 크로스오버 fast=7, slow=21 |
10.3% | -75.5% | 0.44 | 0.14 | 13.5x | 242 | 35% |
| Supertrend period=20, mult=4.9 |
7.9% | -78.6% | 0.42 | 0.10 | 7.5x | 94 | 59% |
| Parabolic SAR step=0.01, maxStep=0.32 |
7.8% | -77.7% | 0.42 | 0.10 | 7.4x | 196 | 56% |
| 볼린저 밴드 돌파 n=24, k=2.5 |
7.6% | -77.5% | 0.42 | 0.10 | 7.0x | 106 | 42% |
| EMA 크로스오버 fast=9, slow=24 |
9.3% | -77.4% | 0.42 | 0.12 | 10.7x | 154 | 53% |
| ROC 모멘텀 n=128, threshold=0.08 |
5.2% | -78.0% | 0.32 | 0.07 | 3.8x | 154 | 37% |
| MACD fast=10, slow=44, signal=13 |
-4.5% | -98.6% | 0.13 | -0.05 | 0.3x | 318 | 41% |
| Buy and hold | -12.6% | -99.9% | 0.15 | -0.13 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 10-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)