Trend-Following Backtester · Guide · backtest 한국어
etf · BR
BTG Pactual Logistica Fundo de Investimento Imobiliario Responsabilidade Limitada backtest
10 trend-following strategies were compared on the full daily history of BTG Pactual Logistica Fundo de Investimento Imobiliario Responsabilidade Limitada. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 3.6%, MDD -16.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.2%, drawdown -52.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.6%, MDD -16.0%, Sharpe 0.49, 8% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 4.7%, MDD -23.6%, exposure 36%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 3.6%, MDD -16.0%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=42, threshold=0.11 |
3.6% | -16.0% | 0.49 | 0.23 | 1.5x | 28 | 8% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=9, mult=3 |
4.2% | -19.9% | 0.47 | 0.21 | 1.6x | 24 | 23% |
| 볼린저 밴드 돌파 n=58, k=1.4 |
4.7% | -23.6% | 0.47 | 0.20 | 1.7x | 38 | 36% |
| Donchian 채널 돌파 entryN=117, exitN=36 |
3.6% | -27.4% | 0.41 | 0.13 | 1.5x | 14 | 23% |
| SMA 크로스오버 fast=12, slow=161 |
3.8% | -28.1% | 0.36 | 0.13 | 1.6x | 24 | 49% |
| EMA 크로스오버 fast=33, slow=60 |
3.3% | -25.8% | 0.34 | 0.13 | 1.5x | 30 | 47% |
| Supertrend period=28, mult=4.5 |
3.4% | -33.5% | 0.33 | 0.10 | 1.5x | 30 | 59% |
| ADX / DI 방향성 period=42, threshold=10 |
3.2% | -29.1% | 0.33 | 0.11 | 1.5x | 78 | 37% |
| MACD fast=19, slow=43, signal=13 |
-1.8% | -44.5% | -0.05 | -0.04 | 0.8x | 132 | 48% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-3.8% | -47.7% | -0.20 | -0.08 | 0.6x | 188 | 47% |
| Buy and hold | 0.2% | -52.3% | 0.11 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 42-day return is greater than 11%
- Sell — Sell when the 42-day return drops to 11% or below