Trend-Following Backtester · Guide · backtest 한국어
etf · BR
Maxi Renda Fundo de Investimento Imobiliario Cotas backtest
10 trend-following strategies were compared on the full daily history of Maxi Renda Fundo de Investimento Imobiliario Cotas. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 1.5%, MDD -31.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 1.4%, drawdown -41.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.8%, MDD -9.8%, Sharpe 0.24, 2% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 1.5%, MDD -31.1%, exposure 59%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 31.4%p (CAGR 1.5%, MDD -31.1%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=14, mult=3.8 |
0.8% | -9.8% | 0.24 | 0.08 | 1.1x | 6 | 2% |
| EMA 크로스오버 fast=55, slow=175 |
1.5% | -31.1% | 0.20 | 0.05 | 1.2x | 9 | 59% |
| Donchian 채널 돌파 entryN=82, exitN=78 |
1.0% | -30.9% | 0.15 | 0.03 | 1.1x | 13 | 56% |
| Supertrend period=31, mult=5 |
0.9% | -21.9% | 0.15 | 0.04 | 1.1x | 32 | 51% |
| 볼린저 밴드 돌파 n=43, k=2.2 |
0.3% | -19.9% | 0.07 | 0.01 | 1.0x | 44 | 26% |
| ROC 모멘텀 n=13, threshold=0.09 |
0.2% | -12.8% | 0.07 | 0.01 | 1.0x | 12 | 1% |
| SMA 크로스오버 fast=15, slow=120 |
-0.3% | -36.4% | 0.01 | -0.01 | 1.0x | 40 | 51% |
| ADX / DI 방향성 period=26, threshold=37 |
-0.1% | -4.8% | -0.10 | -0.03 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-1.5% | -38.9% | -0.12 | -0.04 | 0.8x | 82 | 50% |
| MACD fast=24, slow=31, signal=21 |
-2.4% | -48.8% | -0.22 | -0.05 | 0.8x | 122 | 48% |
| Buy and hold | 1.4% | -41.3% | 0.17 | 0.03 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 15-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average