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 9.9%, drawdown -55.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.5%, MDD -63.5%, Sharpe 0.47, 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 |
10.5% | -63.5% | 0.47 | 0.16 | 14.2x | 13 | 100% |
| SMA 크로스오버 fast=25, slow=122 |
7.1% | -56.4% | 0.41 | 0.13 | 6.2x | 62 | 63% |
| EMA 크로스오버 fast=57, slow=122 |
6.4% | -53.5% | 0.38 | 0.12 | 5.3x | 45 | 64% |
| Donchian 채널 돌파 entryN=15, exitN=77 |
7.0% | -61.1% | 0.38 | 0.11 | 6.0x | 92 | 83% |
| MACD fast=24, slow=66, signal=19 |
2.8% | -72.9% | 0.24 | 0.04 | 2.1x | 222 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.0% | -80.2% | 0.16 | 0.01 | 1.3x | 307 | 55% |
| Supertrend period=11, mult=4.6 |
-1.8% | -60.1% | 0.04 | -0.03 | 0.6x | 156 | 61% |
| ADX / DI 방향성 period=23, threshold=22 |
-0.9% | -59.2% | 0.02 | -0.02 | 0.8x | 148 | 28% |
| 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 |
-3.1% | -80.2% | -0.07 | -0.04 | 0.4x | 162 | 38% |
| Buy and hold | 9.9% | -55.2% | 0.46 | 0.18 | 12.4x | 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