Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Multiplan Empreendimentos Imobiliarios SA backtest
10 trend-following strategies were compared on the full daily history of Multiplan Empreendimentos Imobiliarios SA. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.7%, MDD -41.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -69.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -41.0%, Sharpe 0.41, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 28.3%p (CAGR 6.7%, MDD -41.0%, exposure 56%).
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=11, slow=88 |
6.7% | -41.0% | 0.41 | 0.16 | 3.4x | 66 | 56% |
| EMA 크로스오버 fast=28, slow=89 |
6.4% | -42.0% | 0.40 | 0.15 | 3.3x | 50 | 56% |
| ADX / DI 방향성 period=34, threshold=29 |
1.6% | -14.5% | 0.33 | 0.11 | 1.3x | 6 | 3% |
| Supertrend period=23, mult=5 |
4.9% | -39.1% | 0.33 | 0.13 | 2.5x | 42 | 55% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
1.6% | -16.9% | 0.32 | 0.09 | 1.4x | 4 | 3% |
| Donchian 채널 돌파 entryN=100, exitN=70 |
4.1% | -54.7% | 0.30 | 0.08 | 2.2x | 28 | 49% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=9, mult=3 |
0.6% | -6.1% | 0.27 | 0.10 | 1.1x | 2 | 0% |
| MACD fast=19, slow=71, signal=30 |
1.3% | -55.0% | 0.17 | 0.02 | 1.3x | 140 | 50% |
| ROC 모멘텀 n=100, threshold=-0.03 |
-1.5% | -75.3% | 0.05 | -0.02 | 0.8x | 200 | 63% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-10.9% | -90.6% | -0.38 | -0.12 | 0.1x | 368 | 53% |
| Buy and hold | 6.9% | -69.3% | 0.37 | 0.10 | 3.6x | 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 11-day average price crosses above the 88-day average
- Sell — Sell (to cash) when the 11-day average falls below the 88-day average