Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Magazine Luiza S.A. backtest
10 trend-following strategies were compared on the full daily history of Magazine Luiza S.A.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 38.4%, MDD -51.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.3%, drawdown -98.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 38.4%, MDD -51.0%, Sharpe 1.10, 39% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 38.2%p higher than buy and hold, while drawdown improves by 47.4%p (CAGR 38.4%, MDD -51.0%, exposure 39%).
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 n=221, threshold=0.13 |
38.4% | -51.0% | 1.10 | 0.75 | 146.6x | 36 | 39% |
| EMA 크로스오버 fast=49, slow=147 |
32.5% | -51.0% | 0.94 | 0.64 | 74.6x | 12 | 44% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=12, mult=1.5 |
28.5% | -64.3% | 0.90 | 0.44 | 46.8x | 72 | 39% |
| 볼린저 밴드 돌파 n=48, k=1.1 |
28.8% | -71.8% | 0.88 | 0.40 | 48.6x | 70 | 41% |
| ADX / DI 방향성 period=37, threshold=11 |
29.9% | -71.1% | 0.86 | 0.42 | 55.1x | 118 | 43% |
| Donchian 채널 돌파 entryN=20, exitN=51 |
32.3% | -74.2% | 0.83 | 0.44 | 73.3x | 42 | 66% |
| SMA 크로스오버 fast=38, slow=104 |
25.7% | -82.0% | 0.75 | 0.31 | 33.3x | 28 | 51% |
| Supertrend period=21, mult=3.1 |
22.0% | -70.4% | 0.70 | 0.31 | 21.1x | 97 | 45% |
| Parabolic SAR step=0.005, maxStep=0.18 |
15.1% | -73.9% | 0.54 | 0.20 | 8.6x | 132 | 50% |
| MACD fast=12, slow=52, signal=8 |
11.6% | -80.5% | 0.47 | 0.14 | 5.4x | 233 | 50% |
| Buy and hold | 0.3% | -98.4% | 0.31 | 0.00 | 1.0x | 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 221-day return is greater than 13%
- Sell — Sell when the 221-day return drops to 13% or below