Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Companhia Brasileira de Aluminio backtest
10 trend-following strategies were compared on the full daily history of Companhia Brasileira de Aluminio. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.9%, MDD -14.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.2%, drawdown -87.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 18.7%, MDD -14.7%, Sharpe 1.34, 12% exposure.
CAGR reference leader: MACD — CAGR 26.3%, MDD -56.9%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.9%p higher than buy and hold, while drawdown improves by 73.2%p (CAGR 11.9%, MDD -14.0%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=33, k=3.1 |
18.7% | -14.7% | 1.34 | 1.27 | 2.4x | 4 | 12% |
| Donchian 채널 돌파 entryN=103, exitN=8 |
17.6% | -18.8% | 1.10 | 0.94 | 2.3x | 11 | 19% |
| ADX / DI 방향성 period=27, threshold=29 |
11.9% | -14.0% | 1.08 | 0.85 | 1.8x | 3 | 17% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=19, mult=2.8 |
19.2% | -31.3% | 0.99 | 0.61 | 2.5x | 15 | 22% |
| MACD fast=10, slow=53, signal=18 |
26.3% | -56.9% | 0.83 | 0.46 | 3.3x | 50 | 49% |
| SMA 크로스오버 fast=29, slow=206 |
15.6% | -50.7% | 0.77 | 0.31 | 2.1x | 7 | 29% |
| Parabolic SAR step=0.01, maxStep=0.32 |
22.6% | -57.6% | 0.76 | 0.39 | 2.8x | 67 | 55% |
| Supertrend period=29, mult=4.3 |
15.9% | -59.7% | 0.64 | 0.27 | 2.1x | 17 | 42% |
| ROC 모멘텀 n=40, threshold=0.04 |
15.2% | -53.9% | 0.61 | 0.28 | 2.1x | 73 | 37% |
| EMA 크로스오버 fast=42, slow=118 |
8.9% | -61.6% | 0.45 | 0.14 | 1.5x | 9 | 34% |
| Buy and hold | -1.2% | -87.9% | 0.24 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 33-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 33-day middle average