Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Petroleo Brasileiro SA backtest
10 trend-following strategies were compared on the full daily history of Petroleo Brasileiro SA. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 8.1%, MDD -68.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -90.5%).
Sharpe leader (same as main): MACD — CAGR 8.1%, MDD -68.9%, Sharpe 0.42, 52% exposure.
Return/drawdown alternative: MACD — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 21.6%p (CAGR 8.1%, MDD -68.9%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=12, slow=73, signal=23 |
8.1% | -68.9% | 0.42 | 0.12 | 7.9x | 259 | 52% |
| Donchian 채널 돌파 entryN=21, exitN=13 |
6.2% | -65.6% | 0.37 | 0.09 | 4.9x | 193 | 43% |
| Parabolic SAR step=0.02, maxStep=0.08 |
4.9% | -77.2% | 0.31 | 0.06 | 3.6x | 435 | 53% |
| 볼린저 밴드 돌파 n=29, k=1.9 |
4.3% | -67.7% | 0.31 | 0.06 | 3.1x | 187 | 32% |
| Supertrend period=9, mult=3.2 |
4.1% | -62.3% | 0.28 | 0.07 | 2.9x | 261 | 53% |
| SMA 크로스오버 fast=8, slow=53 |
4.0% | -74.1% | 0.28 | 0.05 | 2.8x | 175 | 56% |
| ROC 모멘텀 n=60, threshold=-0.02 |
3.3% | -78.2% | 0.26 | 0.04 | 2.4x | 314 | 61% |
| EMA 크로스오버 fast=55, slow=155 |
3.1% | -83.0% | 0.25 | 0.04 | 2.3x | 43 | 61% |
| ADX / DI 방향성 period=25, threshold=39 |
0.7% | -8.0% | 0.24 | 0.08 | 1.2x | 4 | 0% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=2.5 |
2.3% | -66.9% | 0.21 | 0.03 | 1.8x | 146 | 37% |
| Buy and hold | 9.3% | -90.5% | 0.42 | 0.10 | 10.6x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (12/73) crosses above its 23-day signal line
- Sell — Sell when the MACD line crosses back below the signal line