Trend-Following Backtester · Guide · backtest 한국어
etf · BR
CSHG Brasil Shopping Fundo de Investimento Imobiliario Cotas backtest
10 trend-following strategies were compared on the full daily history of CSHG Brasil Shopping Fundo de Investimento Imobiliario Cotas. 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 4.3%, MDD -16.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.6%, drawdown -48.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.7%, MDD -20.7%, Sharpe 0.57, 28% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.3%, MDD -32.7%, exposure 60%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 27.7%p (CAGR 4.3%, MDD -16.5%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=34, k=2.2 |
4.7% | -20.7% | 0.57 | 0.23 | 1.9x | 60 | 28% |
| Donchian 채널 돌파 entryN=23, exitN=39 |
5.3% | -32.7% | 0.49 | 0.16 | 2.1x | 38 | 60% |
| Parabolic SAR step=0.005, maxStep=0.06 |
4.9% | -30.3% | 0.48 | 0.16 | 2.0x | 88 | 51% |
| ADX / DI 방향성 period=18, threshold=20 |
4.3% | -16.5% | 0.47 | 0.26 | 1.8x | 114 | 34% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=27, mult=1.8 |
3.5% | -31.9% | 0.41 | 0.11 | 1.6x | 56 | 36% |
| EMA 크로스오버 fast=9, slow=189 |
2.8% | -20.3% | 0.33 | 0.14 | 1.5x | 30 | 44% |
| Supertrend period=24, mult=3.4 |
3.2% | -32.0% | 0.32 | 0.10 | 1.6x | 58 | 56% |
| MACD fast=12, slow=51, signal=16 |
2.8% | -29.3% | 0.31 | 0.10 | 1.5x | 146 | 47% |
| SMA 크로스오버 fast=6, slow=48 |
2.5% | -36.2% | 0.28 | 0.07 | 1.4x | 100 | 49% |
| ROC 모멘텀 n=86, threshold=-0.03 |
0.4% | -38.8% | 0.09 | 0.01 | 1.1x | 102 | 60% |
| Buy and hold | -0.6% | -48.4% | 0.06 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 34-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 34-day middle average