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; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.6%, MDD -13.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.7%, drawdown -70.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.6%, MDD -13.7%, Sharpe 0.77, 6% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 12.3%, MDD -31.6%, exposure 23%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.2%p higher than buy and hold, while drawdown improves by 56.7%p (CAGR 7.6%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=24, k=3.1 |
7.6% | -13.7% | 0.77 | 0.55 | 1.5x | 5 | 6% |
| ADX / DI 방향성 period=11, threshold=35 |
11.0% | -18.8% | 0.76 | 0.59 | 1.8x | 19 | 13% |
| Donchian 채널 돌파 entryN=56, exitN=8 |
11.4% | -24.3% | 0.70 | 0.47 | 1.8x | 15 | 16% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=22, mult=1.9 |
12.3% | -31.6% | 0.66 | 0.39 | 1.9x | 23 | 23% |
| SMA 크로스오버 fast=36, slow=59 |
7.6% | -39.1% | 0.43 | 0.20 | 1.5x | 25 | 39% |
| Supertrend period=24, mult=3.8 |
7.5% | -42.5% | 0.42 | 0.18 | 1.5x | 21 | 32% |
| ROC 모멘텀 n=36, threshold=0.13 |
5.0% | -34.9% | 0.34 | 0.14 | 1.3x | 47 | 18% |
| MACD fast=8, slow=50, signal=21 |
3.9% | -37.9% | 0.28 | 0.10 | 1.2x | 65 | 46% |
| EMA 크로스오버 fast=35, slow=40 |
2.9% | -37.5% | 0.24 | 0.08 | 1.2x | 19 | 38% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-1.8% | -41.5% | 0.08 | -0.04 | 0.9x | 91 | 47% |
| Buy and hold | -8.7% | -70.4% | -0.02 | -0.12 | 0.6x | 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 24-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 24-day middle average