Trend-Following Backtester · Guide · backtest 한국어
equity · BR
EcoRodovias Infraestrutura e Logistica S.A. backtest
10 trend-following strategies were compared on the full daily history of EcoRodovias Infraestrutura e Logistica S.A.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.3%, MDD -38.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.9%, drawdown -81.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.7%, MDD -39.7%, Sharpe 0.54, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.6%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 6.3%, MDD -38.4%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=16, slow=101 |
10.7% | -39.7% | 0.54 | 0.27 | 5.3x | 36 | 50% |
| Donchian 채널 돌파 entryN=67, exitN=49 |
8.4% | -42.6% | 0.48 | 0.20 | 3.8x | 26 | 44% |
| SMA 크로스오버 fast=12, slow=107 |
7.8% | -58.6% | 0.43 | 0.13 | 3.4x | 52 | 49% |
| Supertrend period=8, mult=4.1 |
7.7% | -54.7% | 0.41 | 0.14 | 3.4x | 48 | 58% |
| 볼린저 밴드 돌파 n=48, k=1.7 |
6.3% | -38.4% | 0.40 | 0.16 | 2.7x | 70 | 35% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=21, mult=2.5 |
5.2% | -40.1% | 0.38 | 0.13 | 2.3x | 52 | 25% |
| ADX / DI 방향성 period=32, threshold=16 |
5.1% | -42.5% | 0.37 | 0.12 | 2.3x | 90 | 27% |
| MACD fast=15, slow=53, signal=22 |
2.4% | -67.3% | 0.22 | 0.03 | 1.5x | 163 | 48% |
| ROC 모멘텀 n=65, threshold=0.02 |
2.2% | -62.7% | 0.21 | 0.03 | 1.4x | 180 | 46% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-0.3% | -71.6% | 0.12 | -0.00 | 1.0x | 143 | 54% |
| Buy and hold | -1.9% | -81.3% | 0.16 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 16-day EMA crosses above the 101-day EMA
- Sell — Sell when the 16-day EMA falls below the 101-day EMA