Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Motiva Infraestrutura de Mobilidade SA backtest
10 trend-following strategies were compared on the full daily history of Motiva Infraestrutura de Mobilidade SA. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.1%, MDD -51.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.1%, drawdown -69.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -60.3%, Sharpe 0.60, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 9.5%p (CAGR 12.1%, MDD -51.7%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=24, slow=165 |
12.9% | -60.3% | 0.60 | 0.21 | 19.4x | 48 | 58% |
| Donchian 채널 돌파 entryN=83, exitN=73 |
12.1% | -51.7% | 0.59 | 0.23 | 16.4x | 30 | 57% |
| EMA 크로스오버 fast=55, slow=85 |
11.3% | -67.3% | 0.55 | 0.17 | 13.7x | 50 | 59% |
| ROC 모멘텀 n=124, threshold=0.07 |
7.9% | -73.4% | 0.45 | 0.11 | 6.5x | 194 | 47% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
5.5% | -55.5% | 0.40 | 0.10 | 3.7x | 56 | 25% |
| Supertrend period=23, mult=3.8 |
6.0% | -60.8% | 0.36 | 0.10 | 4.2x | 100 | 56% |
| ADX / DI 방향성 period=35, threshold=33 |
1.7% | -16.3% | 0.34 | 0.11 | 1.5x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=28, mult=3.1 |
2.8% | -47.6% | 0.25 | 0.06 | 2.0x | 72 | 20% |
| MACD fast=15, slow=58, signal=15 |
0.8% | -81.2% | 0.16 | 0.01 | 1.2x | 309 | 49% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-5.6% | -93.3% | -0.10 | -0.06 | 0.2x | 430 | 51% |
| Buy and hold | 11.1% | -69.8% | 0.47 | 0.16 | 13.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 24-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 24-day average falls below the 165-day average