Trend-Following Backtester · Guide · backtest 한국어
equity · BR
CSN Mineracao SA backtest
10 trend-following strategies were compared on the full daily history of CSN Mineracao SA. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.4%, MDD -13.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.9%, drawdown -70.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.5%, MDD -18.8%, Sharpe 0.70, 14% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 11.0%, MDD -31.6%, exposure 23%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.4%p higher than buy and hold, while drawdown improves by 51.6%p (CAGR 6.4%, MDD -13.7%, exposure 6%).
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=11, threshold=35 |
10.5% | -18.8% | 0.70 | 0.56 | 1.7x | 20 | 14% |
| 볼린저 밴드 돌파 n=24, k=3.1 |
6.4% | -13.7% | 0.65 | 0.47 | 1.4x | 6 | 6% |
| Donchian 채널 돌파 entryN=56, exitN=8 |
10.2% | -24.3% | 0.64 | 0.42 | 1.7x | 16 | 16% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=22, mult=1.9 |
11.0% | -31.6% | 0.61 | 0.35 | 1.8x | 24 | 23% |
| SMA 크로스오버 fast=36, slow=59 |
8.2% | -41.7% | 0.44 | 0.20 | 1.5x | 25 | 40% |
| Supertrend period=24, mult=3.8 |
8.1% | -42.5% | 0.44 | 0.19 | 1.5x | 21 | 33% |
| ROC 모멘텀 n=36, threshold=0.13 |
5.6% | -34.9% | 0.37 | 0.16 | 1.3x | 47 | 19% |
| EMA 크로스오버 fast=35, slow=40 |
3.6% | -37.5% | 0.27 | 0.10 | 1.2x | 19 | 39% |
| MACD fast=8, slow=50, signal=21 |
2.6% | -37.9% | 0.23 | 0.07 | 1.2x | 67 | 46% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-2.8% | -41.5% | 0.05 | -0.07 | 0.9x | 93 | 47% |
| Buy and hold | -7.9% | -70.4% | 0.00 | -0.11 | 0.6x | 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, 11-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)