Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Itausa SA backtest
10 trend-following strategies were compared on the full daily history of Itausa SA. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 10.1%, drawdown -55.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.6%, MDD -63.5%, Sharpe 0.48, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.14 |
10.6% | -63.5% | 0.48 | 0.17 | 14.6x | 13 | 100% |
| SMA 크로스오버 fast=25, slow=122 |
7.5% | -56.4% | 0.42 | 0.13 | 6.9x | 61 | 63% |
| Donchian 채널 돌파 entryN=15, exitN=77 |
7.4% | -61.1% | 0.40 | 0.12 | 6.7x | 91 | 84% |
| EMA 크로스오버 fast=57, slow=122 |
6.6% | -53.5% | 0.39 | 0.12 | 5.4x | 45 | 64% |
| MACD fast=24, slow=66, signal=19 |
3.1% | -72.9% | 0.25 | 0.04 | 2.2x | 221 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.1% | -80.2% | 0.16 | 0.01 | 1.3x | 304 | 55% |
| Supertrend period=11, mult=4.6 |
-1.5% | -60.1% | 0.05 | -0.02 | 0.7x | 155 | 62% |
| ADX / DI 방향성 period=23, threshold=22 |
-0.9% | -59.2% | 0.02 | -0.02 | 0.8x | 148 | 29% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=13, mult=3.4 |
-1.5% | -60.5% | -0.03 | -0.02 | 0.7x | 104 | 24% |
| 볼린저 밴드 돌파 n=52, k=1.8 |
-2.9% | -80.2% | -0.06 | -0.04 | 0.5x | 161 | 38% |
| Buy and hold | 10.1% | -55.2% | 0.46 | 0.18 | 12.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than -14%
- Sell — Sell when the 3-day return drops to -14% or below