Trend-Following Backtester · Guide · backtest 한국어
equity · BR
JHSF Participacoes S.A. backtest
10 trend-following strategies were compared on the full daily history of JHSF Participacoes S.A.. 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 17.4%, MDD -33.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.4%, drawdown -91.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 17.4%, MDD -33.2%, Sharpe 0.85, 17% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 19.7%, MDD -55.2%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.0%p higher than buy and hold, while drawdown improves by 58.6%p (CAGR 17.4%, MDD -33.2%, exposure 17%).
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=10, threshold=35 |
17.4% | -33.2% | 0.85 | 0.52 | 22.5x | 118 | 17% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=21, mult=2.4 |
16.0% | -41.0% | 0.75 | 0.39 | 17.9x | 78 | 25% |
| 볼린저 밴드 돌파 n=37, k=2.7 |
15.6% | -38.6% | 0.74 | 0.40 | 16.6x | 56 | 23% |
| EMA 크로스오버 fast=7, slow=18 |
19.7% | -55.2% | 0.71 | 0.36 | 32.7x | 214 | 50% |
| Supertrend period=20, mult=3.8 |
18.2% | -61.2% | 0.69 | 0.30 | 25.5x | 72 | 48% |
| Parabolic SAR step=0.005, maxStep=0.24 |
18.4% | -58.6% | 0.67 | 0.31 | 26.2x | 144 | 50% |
| Donchian 채널 돌파 entryN=49, exitN=8 |
13.1% | -46.9% | 0.65 | 0.28 | 10.8x | 90 | 25% |
| MACD fast=19, slow=29, signal=16 |
17.2% | -59.5% | 0.63 | 0.29 | 21.5x | 210 | 49% |
| ROC 모멘텀 n=149, threshold=0.11 |
14.9% | -51.8% | 0.62 | 0.29 | 14.8x | 76 | 40% |
| SMA 크로스오버 fast=10, slow=24 |
14.9% | -67.2% | 0.59 | 0.22 | 14.8x | 192 | 49% |
| Buy and hold | 1.4% | -91.8% | 0.27 | 0.02 | 1.3x | 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, 10-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)