Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Caixa Seguridade Participacoes SA backtest
10 trend-following strategies were compared on the full daily history of Caixa Seguridade Participacoes SA. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.7%, MDD -20.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.0%, drawdown -50.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 18.3%, MDD -20.2%, Sharpe 0.92, 76% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 30.3%p (CAGR 14.7%, MDD -20.2%, exposure 56%).
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=218, threshold=-0.13 |
18.3% | -20.2% | 0.92 | 0.91 | 2.5x | 5 | 76% |
| SMA 크로스오버 fast=54, slow=155 |
14.7% | -20.2% | 0.86 | 0.73 | 2.1x | 7 | 56% |
| EMA 크로스오버 fast=58, slow=209 |
13.4% | -20.2% | 0.76 | 0.66 | 2.0x | 5 | 65% |
| Donchian 채널 돌파 entryN=61, exitN=59 |
12.6% | -23.7% | 0.73 | 0.53 | 1.9x | 7 | 58% |
| 볼린저 밴드 돌파 n=55, k=1.3 |
9.0% | -22.9% | 0.60 | 0.39 | 1.6x | 26 | 45% |
| ADX / DI 방향성 period=39, threshold=21 |
4.9% | -11.0% | 0.57 | 0.45 | 1.3x | 8 | 15% |
| MACD fast=16, slow=29, signal=16 |
8.4% | -26.0% | 0.53 | 0.32 | 1.5x | 56 | 44% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=2 |
6.9% | -27.7% | 0.50 | 0.25 | 1.4x | 24 | 40% |
| Supertrend period=28, mult=3.9 |
7.5% | -47.4% | 0.47 | 0.16 | 1.5x | 22 | 54% |
| Parabolic SAR step=0.04, maxStep=0.2 |
6.5% | -34.4% | 0.41 | 0.19 | 1.4x | 159 | 52% |
| Buy and hold | 13.0% | -50.5% | 0.58 | 0.26 | 1.9x | 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 218-day return is greater than -13%
- Sell — Sell when the 218-day return drops to -13% or below