Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Dimed S.A. Distribuidora de Medicamentos backtest
10 trend-following strategies were compared on the full daily history of Dimed S.A. Distribuidora de Medicamentos. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.0%, MDD -29.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.6%, drawdown -98.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.6%, MDD -41.7%, Sharpe 0.78, 38% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 16.5%, MDD -58.2%, exposure 59%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.0%p higher than buy and hold, while drawdown improves by 56.3%p (CAGR 5.0%, MDD -29.3%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=117, exitN=38 |
15.6% | -41.7% | 0.78 | 0.37 | 47.6x | 46 | 38% |
| EMA 크로스오버 fast=21, slow=139 |
15.7% | -59.8% | 0.69 | 0.26 | 48.3x | 44 | 58% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
10.4% | -38.4% | 0.67 | 0.27 | 13.8x | 32 | 20% |
| ROC 모멘텀 n=142, threshold=-0.02 |
16.5% | -58.2% | 0.67 | 0.28 | 57.7x | 124 | 59% |
| SMA 크로스오버 fast=48, slow=204 |
16.1% | -55.5% | 0.67 | 0.29 | 52.6x | 32 | 57% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=15, mult=3.7 |
11.5% | -45.5% | 0.67 | 0.25 | 18.0x | 96 | 32% |
| ADX / DI 방향성 period=25, threshold=32 |
5.0% | -29.3% | 0.50 | 0.17 | 3.7x | 50 | 12% |
| MACD fast=21, slow=60, signal=24 |
4.8% | -69.2% | 0.31 | 0.07 | 3.5x | 209 | 49% |
| Supertrend period=19, mult=5 |
2.8% | -85.9% | 0.24 | 0.03 | 2.1x | 174 | 58% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-5.7% | -97.1% | 0.13 | -0.06 | 0.2x | 331 | 55% |
| Buy and hold | 0.6% | -98.0% | 0.34 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 117 days
- Sell — Sell when price breaks below the lowest low of the last 38 days