Trend-Following Backtester · Guide · backtest 한국어
etf · BR
Trend ETF Ibovespa Fundo de Indice backtest
10 trend-following strategies were compared on the full daily history of Trend ETF Ibovespa Fundo de Indice. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.4%, MDD -12.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.9%, drawdown -25.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.9%, MDD -8.2%, Sharpe 0.76, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.1%, MDD -14.2%, exposure 52%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 17.8%p (CAGR 7.4%, MDD -12.1%, exposure 54%).
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=35, threshold=22 |
4.9% | -8.2% | 0.76 | 0.60 | 1.3x | 4 | 11% |
| SMA 크로스오버 fast=12, slow=69 |
8.1% | -14.2% | 0.69 | 0.57 | 1.5x | 18 | 52% |
| EMA 크로스오버 fast=22, slow=31 |
7.4% | -12.1% | 0.63 | 0.61 | 1.4x | 21 | 54% |
| 볼린저 밴드 돌파 n=80, k=1.1 |
6.1% | -12.2% | 0.57 | 0.50 | 1.4x | 16 | 45% |
| Supertrend period=11, mult=3.7 |
5.3% | -19.3% | 0.49 | 0.27 | 1.3x | 22 | 48% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=13, mult=4 |
2.8% | -6.3% | 0.43 | 0.44 | 1.2x | 10 | 17% |
| ROC 모멘텀 n=41, threshold=0.02 |
4.1% | -17.7% | 0.41 | 0.23 | 1.2x | 54 | 43% |
| Donchian 채널 돌파 entryN=11, exitN=60 |
4.7% | -29.2% | 0.38 | 0.16 | 1.3x | 21 | 76% |
| MACD fast=17, slow=46, signal=12 |
2.5% | -21.2% | 0.27 | 0.12 | 1.1x | 61 | 45% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.1% | -27.2% | -0.11 | -0.08 | 0.9x | 55 | 51% |
| Buy and hold | 6.9% | -25.9% | 0.46 | 0.27 | 1.4x | 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, 35-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)