Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Cury Construtora e Incorporadora SA backtest
10 trend-following strategies were compared on the full daily history of Cury Construtora e Incorporadora SA. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 27.1%, MDD -27.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 23.1%, drawdown -50.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 27.1%, MDD -27.3%, Sharpe 0.97, 63% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR 27.1%, MDD -27.3%, exposure 63%).
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=162, threshold=0.02 |
27.1% | -27.3% | 0.97 | 1.00 | 4.2x | 18 | 63% |
| SMA 크로스오버 fast=16, slow=211 |
24.2% | -29.6% | 0.90 | 0.82 | 3.6x | 4 | 61% |
| EMA 크로스오버 fast=29, slow=154 |
22.0% | -30.0% | 0.84 | 0.73 | 3.3x | 6 | 62% |
| 볼린저 밴드 돌파 n=24, k=3.1 |
9.9% | -12.5% | 0.79 | 0.80 | 1.8x | 8 | 10% |
| Supertrend period=21, mult=2.5 |
16.9% | -38.0% | 0.70 | 0.44 | 2.5x | 39 | 59% |
| Donchian 채널 돌파 entryN=90, exitN=62 |
15.4% | -27.9% | 0.68 | 0.55 | 2.3x | 6 | 53% |
| MACD fast=22, slow=62, signal=15 |
13.9% | -41.6% | 0.63 | 0.33 | 2.2x | 53 | 50% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=27, mult=2.7 |
10.0% | -18.6% | 0.59 | 0.54 | 1.8x | 20 | 27% |
| ADX / DI 방향성 period=27, threshold=26 |
5.8% | -16.7% | 0.55 | 0.35 | 1.4x | 8 | 7% |
| Parabolic SAR step=0.005, maxStep=0.34 |
2.3% | -46.6% | 0.22 | 0.05 | 1.1x | 61 | 55% |
| Buy and hold | 23.1% | -50.6% | 0.73 | 0.46 | 3.4x | 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 162-day return is greater than 2%
- Sell — Sell when the 162-day return drops to 2% or below