Trend-Following Backtester · Guide · backtest 한국어

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Dexco SA backtest

10 trend-following strategies were compared on the full daily history of Dexco SA. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.3%, MDD -14.9%).

Data 2007-09-21 ~ 2026-07-31daily bars 4,681 (18.9 years)Costs 0.5%Venue BMFBOVESPAMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -1.1%, drawdown -77.9%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.5%, MDD -20.4%, Sharpe 0.58, 6% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 7.6%, MDD -55.8%, exposure 47%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 57.5%p (CAGR 3.3%, MDD -14.9%, exposure 3%).

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
볼린저 밴드 돌파
n=57, k=3.5
6.5%-20.4%0.580.323.3x46%
ADX / DI 방향성
period=33, threshold=31
3.3%-14.9%0.510.221.8x23%
EMA 크로스오버
fast=17, slow=78
7.6%-55.8%0.410.144.0x5947%
MACD
fast=19, slow=41, signal=15
7.4%-64.9%0.390.113.8x20349%
Keltner 채널 돌파
emaPeriod=35, atrPeriod=8, mult=2.2
5.5%-51.0%0.360.112.7x8627%
SMA 크로스오버
fast=13, slow=30
5.9%-62.7%0.350.093.0x14549%
Parabolic SAR
step=0.005, maxStep=0.24
5.0%-78.6%0.310.062.5x15748%
Supertrend
period=21, mult=3.7
4.6%-69.9%0.300.072.4x8049%
Donchian 채널 돌파
entryN=51, exitN=64
4.4%-68.6%0.290.062.2x4253%
ROC 모멘텀
n=30, threshold=0.12
0.7%-61.2%0.130.011.1x23220%
Buy and hold-1.1%-77.9%0.19-0.010.8x1100%
1x 2008 2011 2014 2017 2020 2023 2026 EMA 크로스오버볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -19% -39% -58% -78% 2008 2011 2014 2017 2020 2023 2026 Buy and holdEMA 크로스오버볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -20.4% (2010-01-12 → 2013-03-25), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

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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