Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Movida Participacoes SA backtest
10 trend-following strategies were compared on the full daily history of Movida Participacoes SA. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.3%, MDD -27.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.3%, drawdown -85.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 19.1%, MDD -38.7%, Sharpe 0.70, 42% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.4%p higher than buy and hold, while drawdown improves by 46.6%p (CAGR 7.3%, MDD -27.0%, exposure 16%).
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=58, threshold=10 |
19.1% | -38.7% | 0.70 | 0.49 | 5.1x | 24 | 42% |
| Donchian 채널 돌파 entryN=19, exitN=32 |
18.0% | -61.6% | 0.61 | 0.29 | 4.6x | 34 | 61% |
| MACD fast=13, slow=53, signal=13 |
15.6% | -57.1% | 0.57 | 0.27 | 3.8x | 111 | 52% |
| 볼린저 밴드 돌파 n=59, k=2 |
11.4% | -44.0% | 0.52 | 0.26 | 2.7x | 32 | 34% |
| EMA 크로스오버 fast=13, slow=96 |
12.2% | -44.9% | 0.51 | 0.27 | 2.9x | 28 | 47% |
| ROC 모멘텀 n=86, threshold=0.13 |
10.5% | -46.6% | 0.48 | 0.22 | 2.5x | 46 | 36% |
| Supertrend period=23, mult=3.8 |
10.7% | -64.3% | 0.47 | 0.17 | 2.6x | 42 | 48% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=9, mult=2.7 |
7.3% | -27.0% | 0.46 | 0.27 | 1.9x | 28 | 16% |
| SMA 크로스오버 fast=7, slow=172 |
9.7% | -57.0% | 0.45 | 0.17 | 2.4x | 20 | 45% |
| Parabolic SAR step=0.01, maxStep=0.36 |
7.3% | -63.5% | 0.38 | 0.12 | 1.9x | 133 | 53% |
| Buy and hold | -2.3% | -85.4% | 0.23 | -0.03 | 0.8x | 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, 58-day) is ≥ 10
- Sell — Sell when direction flips or the trend weakens (ADX < 10)