Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Embraer S.A. backtest
10 trend-following strategies were compared on the full daily history of Embraer S.A.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.2%, MDD -62.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.1%, drawdown -80.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.8%, MDD -64.5%, Sharpe 0.63, 78% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 15.6%p (CAGR 11.2%, MDD -62.8%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=21, exitN=71 |
16.8% | -64.5% | 0.63 | 0.26 | 63.0x | 47 | 78% |
| SMA 크로스오버 fast=64, slow=167 |
11.2% | -62.8% | 0.51 | 0.18 | 17.1x | 42 | 58% |
| Supertrend period=9, mult=2.7 |
10.8% | -65.8% | 0.50 | 0.16 | 15.2x | 177 | 56% |
| EMA 크로스오버 fast=67, slow=100 |
9.0% | -67.9% | 0.44 | 0.13 | 9.9x | 55 | 60% |
| 볼린저 밴드 돌파 n=38, k=2.7 |
5.0% | -35.7% | 0.36 | 0.14 | 3.6x | 83 | 21% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=27, mult=2.5 |
5.9% | -62.1% | 0.36 | 0.09 | 4.6x | 95 | 39% |
| ROC 모멘텀 n=90, threshold=0 |
5.1% | -86.1% | 0.32 | 0.06 | 3.8x | 255 | 59% |
| ADX / DI 방향성 period=38, threshold=13 |
4.5% | -72.8% | 0.30 | 0.06 | 3.2x | 161 | 34% |
| MACD fast=18, slow=22, signal=19 |
2.9% | -80.9% | 0.24 | 0.04 | 2.1x | 372 | 50% |
| Parabolic SAR step=0.015, maxStep=0.16 |
0.6% | -78.1% | 0.16 | 0.01 | 1.2x | 490 | 52% |
| Buy and hold | 10.1% | -80.2% | 0.44 | 0.13 | 13.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 21 days
- Sell — Sell when price breaks below the lowest low of the last 71 days