Trend-Following Backtester · Guide · backtest 한국어

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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 7.4%, MDD -27.0%).

Data 2017-05-24 ~ 2026-07-31daily bars 2,291 (9.2 years)Costs 0.5%Venue BMFBOVESPAMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -1.5%, drawdown -85.4%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 19.3%, MDD -38.7%, Sharpe 0.70, 43% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 20.9%p higher than buy and hold, while drawdown improves by 46.6%p (CAGR 7.4%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=58, threshold=10
19.3%-38.7%0.700.505.1x2443%
Donchian 채널 돌파
entryN=19, exitN=32
18.2%-61.6%0.610.304.6x3462%
MACD
fast=13, slow=53, signal=13
16.0%-57.1%0.580.283.9x11052%
볼린저 밴드 돌파
n=59, k=2
11.5%-44.0%0.520.262.7x3234%
EMA 크로스오버
fast=13, slow=96
12.3%-44.9%0.510.272.9x2848%
ROC 모멘텀
n=86, threshold=0.13
10.6%-46.6%0.480.232.5x4636%
Supertrend
period=23, mult=3.8
10.8%-64.3%0.470.172.6x4249%
Keltner 채널 돌파
emaPeriod=21, atrPeriod=9, mult=2.7
7.4%-27.0%0.460.271.9x2816%
SMA 크로스오버
fast=7, slow=172
9.8%-57.0%0.450.172.4x2045%
Parabolic SAR
step=0.01, maxStep=0.36
7.7%-63.5%0.390.122.0x13253%
Buy and hold-1.5%-85.4%0.24-0.020.9x1100%
1x 2018 2020 2022 2024 2026 ADX / DI 방향성Buy and hold
ADX / DI 방향성: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -43% -64% -85% 2018 2020 2022 2024 2026 Buy and holdADX / DI 방향성
ADX / DI 방향성 maximum drawdown -38.7% (2023-08-23 → 2025-03-24), recovered after 624 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

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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