Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Localiza Rent A Car SA backtest
10 trend-following strategies were compared on the full daily history of Localiza Rent A Car SA. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 14.7%, MDD -33.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.1%, drawdown -77.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 14.7%, MDD -33.4%, Sharpe 0.75, 36% exposure.
CAGR reference leader: Supertrend — CAGR 16.7%, MDD -47.5%, exposure 56%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.4%p lower than buy and hold, while drawdown improves by 43.9%p (CAGR 14.7%, MDD -33.4%, exposure 36%).
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=68, atrPeriod=12, mult=2.8 |
14.7% | -33.4% | 0.75 | 0.44 | 18.2x | 52 | 36% |
| Supertrend period=12, mult=4.4 |
16.7% | -47.5% | 0.71 | 0.35 | 26.5x | 58 | 56% |
| 볼린저 밴드 돌파 n=29, k=3 |
9.3% | -34.5% | 0.70 | 0.27 | 6.6x | 32 | 13% |
| ADX / DI 방향성 period=30, threshold=36 |
4.1% | -12.9% | 0.64 | 0.32 | 2.4x | 4 | 3% |
| Donchian 채널 돌파 entryN=12, exitN=48 |
16.2% | -71.9% | 0.61 | 0.22 | 23.9x | 72 | 80% |
| EMA 크로스오버 fast=23, slow=43 |
11.7% | -69.7% | 0.54 | 0.17 | 10.5x | 98 | 60% |
| SMA 크로스오버 fast=15, slow=59 |
11.7% | -56.9% | 0.53 | 0.20 | 10.3x | 108 | 59% |
| ROC 모멘텀 n=59, threshold=0.04 |
8.7% | -63.3% | 0.46 | 0.14 | 5.8x | 278 | 51% |
| MACD fast=16, slow=61, signal=12 |
7.7% | -60.7% | 0.41 | 0.13 | 4.8x | 264 | 51% |
| Parabolic SAR step=0.01, maxStep=0.3 |
4.2% | -66.1% | 0.29 | 0.06 | 2.4x | 300 | 57% |
| Buy and hold | 18.1% | -77.3% | 0.61 | 0.23 | 34.1x | 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 68-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 68-day average