Trend-Following Backtester · Guide · backtest 한국어
equity · BR
EZ TEC Empreendimentos e Participacoes SA backtest
10 trend-following strategies were compared on the full daily history of EZ TEC Empreendimentos e Participacoes SA. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.6%, MDD -25.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.3%, drawdown -87.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.2%, MDD -31.9%, Sharpe 0.85, 27% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 15.4%, MDD -40.6%, exposure 32%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.9%p higher than buy and hold, while drawdown improves by 55.7%p (CAGR 13.6%, MDD -25.2%, exposure 21%).
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=82, exitN=15 |
15.2% | -31.9% | 0.85 | 0.48 | 14.8x | 48 | 27% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=28, mult=3.4 |
13.6% | -25.2% | 0.85 | 0.54 | 11.4x | 36 | 21% |
| 볼린저 밴드 돌파 n=48, k=2 |
15.4% | -40.6% | 0.79 | 0.38 | 15.3x | 70 | 32% |
| ADX / DI 방향성 period=17, threshold=32 |
9.5% | -26.8% | 0.77 | 0.36 | 5.7x | 44 | 11% |
| SMA 크로스오버 fast=33, slow=186 |
11.1% | -74.9% | 0.53 | 0.15 | 7.5x | 24 | 50% |
| EMA 크로스오버 fast=43, slow=48 |
10.6% | -65.5% | 0.52 | 0.16 | 6.9x | 56 | 49% |
| ROC 모멘텀 n=126, threshold=0.12 |
7.6% | -63.3% | 0.45 | 0.12 | 4.0x | 128 | 38% |
| Supertrend period=11, mult=5 |
8.6% | -69.8% | 0.44 | 0.12 | 4.8x | 52 | 49% |
| Parabolic SAR step=0.01, maxStep=0.2 |
3.9% | -76.9% | 0.28 | 0.05 | 2.1x | 264 | 51% |
| MACD fast=15, slow=45, signal=9 |
1.0% | -63.2% | 0.18 | 0.02 | 1.2x | 284 | 51% |
| Buy and hold | 3.3% | -87.6% | 0.29 | 0.04 | 1.8x | 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 82 days
- Sell — Sell when price breaks below the lowest low of the last 15 days