Trend-Following Backtester · Guide · backtest 한국어
etf · BR
BRBI BR Partners S.A. Units Cons of 1 Sh and 2 Pfd Shs backtest
10 trend-following strategies were compared on the full daily history of BRBI BR Partners S.A. Units Cons of 1 Sh and 2 Pfd Shs. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.2%, MDD -12.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.9%, drawdown -66.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.2%, MDD -12.9%, Sharpe 0.50, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.4%, MDD -28.1%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.1%p higher than buy and hold, while drawdown improves by 53.3%p (CAGR 6.2%, MDD -12.9%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=20, mult=3.2 |
6.2% | -12.9% | 0.50 | 0.48 | 1.4x | 8 | 17% |
| ADX / DI 방향성 period=24, threshold=26 |
4.2% | -13.0% | 0.42 | 0.33 | 1.2x | 6 | 12% |
| Donchian 채널 돌파 entryN=30, exitN=43 |
6.4% | -28.1% | 0.39 | 0.23 | 1.4x | 12 | 52% |
| SMA 크로스오버 fast=44, slow=64 |
4.2% | -26.7% | 0.30 | 0.16 | 1.2x | 16 | 45% |
| ROC 모멘텀 n=51, threshold=0.04 |
3.9% | -29.6% | 0.29 | 0.13 | 1.2x | 54 | 36% |
| EMA 크로스오버 fast=9, slow=175 |
2.9% | -29.0% | 0.24 | 0.10 | 1.2x | 10 | 43% |
| MACD fast=14, slow=68, signal=19 |
-0.3% | -35.6% | 0.10 | -0.01 | 1.0x | 47 | 45% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-1.6% | -37.9% | 0.06 | -0.04 | 0.9x | 68 | 45% |
| 볼린저 밴드 돌파 n=53, k=1.4 |
-0.9% | -35.2% | 0.05 | -0.02 | 1.0x | 26 | 33% |
| Supertrend period=13, mult=2.9 |
-4.2% | -46.3% | -0.04 | -0.09 | 0.8x | 30 | 51% |
| Buy and hold | -6.9% | -66.2% | -0.00 | -0.10 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 43-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 43-day average