Trend-Following Backtester · Guide · backtest 한국어

equity · BR

M. Dias Branco SA Industria e Comercio de Alimentos backtest

10 trend-following strategies were compared on the full daily history of M. Dias Branco SA Industria e Comercio de Alimentos. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.0%, MDD -18.2%).

Data 2006-10-18 ~ 2026-07-31daily bars 4,912 (19.8 years)Costs 0.5%Venue BMFBOVESPAMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR 4.6%, drawdown -72.0%).

Sharpe leader (same as main): Supertrend — CAGR 13.1%, MDD -35.4%, Sharpe 0.65, 55% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 6.0%, MDD -18.2%, exposure 11%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=23, mult=4.4
13.1%-35.4%0.650.3711.5x4855%
Keltner 채널 돌파
emaPeriod=33, atrPeriod=22, mult=3.8
6.0%-18.2%0.580.333.2x2011%
SMA 크로스오버
fast=11, slow=68
9.0%-58.2%0.500.155.5x7651%
ADX / DI 방향성
period=22, threshold=21
7.0%-47.0%0.490.153.8x9627%
EMA 크로스오버
fast=23, slow=49
8.1%-62.7%0.460.134.6x7052%
Parabolic SAR
step=0.025, maxStep=0.04
7.7%-65.2%0.440.124.4x20250%
Donchian 채널 돌파
entryN=29, exitN=52
7.7%-61.9%0.430.124.4x5260%
볼린저 밴드 돌파
n=57, k=1.1
5.6%-57.6%0.370.102.9x10443%
ROC 모멘텀
n=48, threshold=0.01
4.7%-55.3%0.320.082.5x21449%
MACD
fast=20, slow=41, signal=19
-0.3%-66.0%0.11-0.000.9x22549%
Buy and hold4.6%-72.0%0.300.062.4x1100%
1x 10x 2007 2010 2013 2016 2019 2022 2025 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -36% -54% -72% 2007 2010 2013 2016 2019 2022 2025 Buy and holdSupertrend
Supertrend maximum drawdown -35.4% (2020-02-19 → 2022-06-17), recovered after 908 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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