Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Intelbras SA Industria de Telecomunicacao Eletronica Brasileir backtest
10 trend-following strategies were compared on the full daily history of Intelbras SA Industria de Telecomunicacao Eletronica Brasileir. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.2%, MDD -5.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.0%, drawdown -70.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.1%, MDD -19.6%, Sharpe 0.65, 18% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 14.1%p higher than buy and hold, while drawdown improves by 51.3%p (CAGR 1.2%, MDD -5.2%, exposure 2%).
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=16, k=2.4 |
9.1% | -19.6% | 0.65 | 0.46 | 1.6x | 23 | 18% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=16, mult=2 |
5.6% | -22.6% | 0.53 | 0.25 | 1.4x | 14 | 11% |
| Supertrend period=21, mult=2.3 |
7.5% | -43.6% | 0.41 | 0.17 | 1.5x | 43 | 50% |
| ROC 모멘텀 n=14, threshold=0.21 |
1.2% | -5.2% | 0.34 | 0.24 | 1.1x | 8 | 2% |
| ADX / DI 방향성 period=9, threshold=37 |
2.5% | -23.0% | 0.26 | 0.11 | 1.1x | 34 | 13% |
| Parabolic SAR step=0.01, maxStep=0.08 |
3.3% | -34.9% | 0.26 | 0.10 | 1.2x | 71 | 45% |
| SMA 크로스오버 fast=16, slow=26 |
0.9% | -43.1% | 0.16 | 0.02 | 1.1x | 57 | 46% |
| Donchian 채널 돌파 entryN=14, exitN=39 |
-4.5% | -65.1% | -0.01 | -0.07 | 0.8x | 25 | 64% |
| MACD fast=18, slow=49, signal=8 |
-5.3% | -51.1% | -0.08 | -0.10 | 0.7x | 89 | 46% |
| EMA 크로스오버 fast=10, slow=38 |
-6.1% | -61.4% | -0.14 | -0.10 | 0.7x | 45 | 46% |
| Buy and hold | -5.0% | -70.9% | 0.05 | -0.07 | 0.8x | 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 16-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 16-day middle average