Trend-Following Backtester · Guide · backtest 한국어

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Companhia Siderurgica Nacional backtest

10 trend-following strategies were compared on the full daily history of Companhia Siderurgica Nacional. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.7%, MDD -26.0%).

Data 2000-01-03 ~ 2026-07-31daily bars 6,672 (26.6 years)Costs 0.5%Venue BMFBOVESPAMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 0.7%, drawdown -93.5%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.7%, MDD -26.0%, Sharpe 0.65, 7% exposure.

CAGR reference leader: 볼린저 밴드 돌파 — CAGR 14.9%, MDD -69.0%, exposure 45%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 67.5%p (CAGR 7.7%, MDD -26.0%, exposure 7%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=31, threshold=28
7.7%-26.0%0.650.297.1x167%
볼린저 밴드 돌파
n=48, k=0.8
14.9%-69.0%0.590.2240.1x18045%
MACD
fast=19, slow=68, signal=16
14.5%-72.7%0.550.2036.5x26552%
SMA 크로스오버
fast=6, slow=46
13.4%-73.8%0.530.1828.1x17252%
Keltner 채널 돌파
emaPeriod=33, atrPeriod=12, mult=0.4
12.6%-88.3%0.520.1423.4x37048%
Supertrend
period=17, mult=2.4
12.3%-66.4%0.510.1821.6x24249%
Donchian 채널 돌파
entryN=16, exitN=24
12.0%-88.1%0.490.1420.5x14758%
EMA 크로스오버
fast=16, slow=104
9.7%-68.3%0.450.1411.8x7647%
ROC 모멘텀
n=23, threshold=0
6.4%-90.4%0.350.075.1x49952%
Parabolic SAR
step=0.025, maxStep=0.22
1.0%-80.0%0.210.011.3x63849%
Buy and hold0.7%-93.5%0.280.011.2x1100%
1x 10x 100x 2001 2005 2009 2013 2017 2021 2025 볼린저 밴드 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), 볼린저 밴드 돌파 (CAGR reference), Buy and hold.
0% -23% -47% -70% -94% 2001 2005 2009 2013 2017 2021 2025 Buy and hold볼린저 밴드 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -26.0% (2019-04-08 → 2020-09-29), recovered after 562 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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