Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Raia Drogasil S.A. backtest
10 trend-following strategies were compared on the full daily history of Raia Drogasil S.A.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 35.6%, drawdown -63.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.4%, MDD -50.5%, Sharpe 0.85, 63% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 26.4%, MDD -64.3%, exposure 52%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=74, exitN=48 |
24.4% | -50.5% | 0.85 | 0.48 | 335.1x | 46 | 63% |
| EMA 크로스오버 fast=30, slow=176 |
24.5% | -43.4% | 0.83 | 0.56 | 343.2x | 30 | 70% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=13, mult=3.3 |
21.2% | -45.8% | 0.83 | 0.46 | 168.6x | 60 | 43% |
| ROC 모멘텀 n=106, threshold=0.08 |
19.8% | -56.6% | 0.82 | 0.35 | 122.1x | 186 | 44% |
| SMA 크로스오버 fast=54, slow=114 |
20.4% | -39.6% | 0.81 | 0.51 | 140.5x | 52 | 57% |
| 볼린저 밴드 돌파 n=45, k=2.2 |
20.4% | -47.9% | 0.80 | 0.43 | 141.9x | 90 | 47% |
| Supertrend period=19, mult=2.7 |
19.5% | -57.2% | 0.72 | 0.34 | 116.4x | 143 | 62% |
| MACD fast=23, slow=60, signal=26 |
16.2% | -64.7% | 0.70 | 0.25 | 54.8x | 175 | 45% |
| Parabolic SAR step=0.005, maxStep=0.34 |
26.3% | -66.8% | 0.46 | 0.39 | 501.6x | 174 | 64% |
| ADX / DI 방향성 period=31, threshold=14 |
26.4% | -64.3% | 0.45 | 0.41 | 510.5x | 137 | 52% |
| Buy and hold | 35.6% | -63.5% | 0.56 | 0.56 | 3343.4x | 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 74 days
- Sell — Sell when price breaks below the lowest low of the last 48 days