Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Klabin SA backtest
10 trend-following strategies were compared on the full daily history of Klabin SA. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.5%, drawdown -71.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.2%, MDD -42.3%, Sharpe 0.43, 28% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.6%, MDD -58.9%, exposure 77%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=22, threshold=35 |
10.2% | -42.3% | 0.43 | 0.24 | 10.8x | 46 | 28% |
| 볼린저 밴드 돌파 n=31, k=3 |
9.8% | -51.1% | 0.42 | 0.19 | 9.9x | 46 | 27% |
| Donchian 채널 돌파 entryN=28, exitN=61 |
11.6% | -58.9% | 0.39 | 0.20 | 14.7x | 59 | 77% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=16, mult=4 |
10.1% | -47.3% | 0.35 | 0.21 | 10.4x | 52 | 29% |
| Parabolic SAR step=0.01, maxStep=0.26 |
7.2% | -55.8% | 0.35 | 0.13 | 5.5x | 175 | 53% |
| SMA 크로스오버 fast=44, slow=137 |
5.2% | -67.3% | 0.30 | 0.08 | 3.5x | 46 | 56% |
| ROC 모멘텀 n=121, threshold=-0.03 |
4.7% | -76.5% | 0.28 | 0.06 | 3.1x | 203 | 67% |
| MACD fast=21, slow=65, signal=23 |
4.5% | -74.3% | 0.25 | 0.06 | 2.9x | 161 | 49% |
| EMA 크로스오버 fast=19, slow=74 |
2.7% | -82.4% | 0.24 | 0.03 | 1.9x | 79 | 56% |
| Supertrend period=10, mult=4.5 |
1.6% | -88.7% | 0.21 | 0.02 | 1.5x | 117 | 54% |
| Buy and hold | 14.5% | -71.3% | 0.45 | 0.20 | 27.5x | 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, 22-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)