Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Companhia de Saneamento Basico do Estado de Sao Paulo SABESP backtest
10 trend-following strategies were compared on the full daily history of Companhia de Saneamento Basico do Estado de Sao Paulo SABESP. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.5%, MDD -54.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.5%, drawdown -69.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.2%, MDD -61.0%, Sharpe 0.55, 84% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 8.0%p (CAGR 10.5%, MDD -54.4%, exposure 65%).
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=12, exitN=72 |
13.2% | -61.0% | 0.55 | 0.22 | 27.1x | 66 | 84% |
| EMA 크로스오버 fast=41, slow=258 |
10.4% | -56.2% | 0.49 | 0.18 | 13.8x | 27 | 65% |
| SMA 크로스오버 fast=75, slow=181 |
10.5% | -54.4% | 0.49 | 0.19 | 14.2x | 33 | 65% |
| ROC 모멘텀 n=179, threshold=-0.04 |
8.3% | -59.1% | 0.43 | 0.14 | 8.4x | 167 | 67% |
| 볼린저 밴드 돌파 n=46, k=0.8 |
5.5% | -40.3% | 0.34 | 0.14 | 4.1x | 226 | 49% |
| ADX / DI 방향성 period=46, threshold=9 |
4.7% | -52.7% | 0.31 | 0.09 | 3.4x | 244 | 48% |
| Supertrend period=17, mult=2.5 |
3.4% | -57.1% | 0.26 | 0.06 | 2.4x | 222 | 56% |
| Parabolic SAR step=0.005, maxStep=0.18 |
2.2% | -59.3% | 0.21 | 0.04 | 1.8x | 232 | 56% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=29, mult=2.2 |
1.2% | -54.1% | 0.15 | 0.02 | 1.4x | 142 | 30% |
| MACD fast=16, slow=38, signal=19 |
0.4% | -57.0% | 0.14 | 0.01 | 1.1x | 330 | 51% |
| Buy and hold | 11.5% | -69.0% | 0.48 | 0.17 | 18.2x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 72 days