Trend-Following Backtester · Guide · backtest 한국어
equity · BR
LAVVI Empreendimentos Imobiliarios SA backtest
10 trend-following strategies were compared on the full daily history of LAVVI Empreendimentos Imobiliarios SA. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.4%, MDD -18.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.5%, drawdown -54.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.7%, MDD -20.1%, Sharpe 0.82, 26% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.1%, MDD -33.8%, exposure 50%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 13.4%, MDD -18.5%, exposure 29%).
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=17, k=2.2 |
12.7% | -20.1% | 0.82 | 0.63 | 2.0x | 42 | 26% |
| Donchian 채널 돌파 entryN=110, exitN=26 |
13.4% | -18.5% | 0.77 | 0.72 | 2.1x | 8 | 29% |
| SMA 크로스오버 fast=25, slow=207 |
14.1% | -33.8% | 0.67 | 0.42 | 2.2x | 10 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=4 |
10.5% | -22.2% | 0.65 | 0.47 | 1.8x | 10 | 28% |
| Supertrend period=5, mult=3.6 |
13.1% | -40.9% | 0.61 | 0.32 | 2.1x | 26 | 54% |
| EMA 크로스오버 fast=30, slow=141 |
11.5% | -28.1% | 0.56 | 0.41 | 1.9x | 10 | 52% |
| ROC 모멘텀 n=115, threshold=0.09 |
8.9% | -26.8% | 0.51 | 0.33 | 1.7x | 46 | 39% |
| ADX / DI 방향성 period=33, threshold=19 |
6.0% | -21.2% | 0.46 | 0.28 | 1.4x | 16 | 23% |
| MACD fast=9, slow=26, signal=16 |
8.3% | -48.7% | 0.44 | 0.17 | 1.6x | 94 | 48% |
| Parabolic SAR step=0.03, maxStep=0.2 |
3.8% | -36.8% | 0.28 | 0.10 | 1.2x | 158 | 50% |
| Buy and hold | 2.5% | -54.1% | 0.26 | 0.05 | 1.2x | 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 17-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 17-day middle average