Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Unifique Telecomunicacoes SA backtest
10 trend-following strategies were compared on the full daily history of Unifique Telecomunicacoes SA. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.6%, MDD -18.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.7%, drawdown -67.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.6%, MDD -18.1%, Sharpe 0.68, 14% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.0%, MDD -20.9%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.4%p higher than buy and hold, while drawdown improves by 48.9%p (CAGR 8.6%, MDD -18.1%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=21 |
8.6% | -18.1% | 0.68 | 0.48 | 1.5x | 2 | 14% |
| 볼린저 밴드 돌파 n=66, k=2.1 |
10.1% | -25.6% | 0.62 | 0.39 | 1.6x | 10 | 32% |
| Donchian 채널 돌파 entryN=29, exitN=35 |
12.0% | -20.9% | 0.61 | 0.57 | 1.8x | 12 | 48% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=15, mult=2.8 |
7.7% | -27.8% | 0.52 | 0.28 | 1.5x | 10 | 27% |
| EMA 크로스오버 fast=10, slow=129 |
6.4% | -33.3% | 0.41 | 0.19 | 1.4x | 12 | 41% |
| MACD fast=13, slow=51, signal=14 |
6.8% | -33.0% | 0.37 | 0.21 | 1.4x | 58 | 44% |
| SMA 크로스오버 fast=30, slow=119 |
3.9% | -35.9% | 0.28 | 0.11 | 1.2x | 10 | 46% |
| Supertrend period=13, mult=3.4 |
1.5% | -46.7% | 0.19 | 0.03 | 1.1x | 18 | 47% |
| ROC 모멘텀 n=55, threshold=0.02 |
-0.5% | -40.0% | 0.09 | -0.01 | 1.0x | 52 | 43% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-5.8% | -54.2% | -0.11 | -0.11 | 0.7x | 44 | 44% |
| Buy and hold | -9.7% | -67.0% | -0.04 | -0.15 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)