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Trend-Following Backtester · Guide · backtest 한국어

equity · BR

Sao Martinho S.A. backtest

10 trend-following strategies were compared on the full daily history of Sao Martinho S.A.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 5.2%, MDD -44.3%).

Data 2007-02-12 ~ 2026-08-31daily bars 4,854 (19.5 years)Costs 0.5%Venue BMFBOVESPAMonthly snapshot 2026-08-31

Results by strategy

5 of 10 beat buy and hold (CAGR 4.8%, drawdown -75.1%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.8%, MDD -49.5%, Sharpe 0.46, 37% exposure.

CAGR reference leader: Parabolic SAR — CAGR 8.0%, MDD -51.4%, exposure 52%.

Return/drawdown alternative: Supertrend — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 5.2%, MDD -44.3%, exposure 51%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=28, k=1.6
7.8%-49.5%0.460.164.3x14937%
Parabolic SAR
step=0.005, maxStep=0.04
8.0%-51.4%0.430.164.5x14152%
Keltner 채널 돌파
emaPeriod=34, atrPeriod=15, mult=1.8
6.7%-50.9%0.430.133.6x11132%
MACD
fast=13, slow=59, signal=20
6.2%-58.6%0.360.113.2x21951%
Supertrend
period=15, mult=2.9
5.2%-44.3%0.330.122.7x12551%
ADX / DI 방향성
period=15, threshold=37
2.5%-16.8%0.280.151.6x388%
Donchian 채널 돌파
entryN=30, exitN=76
3.3%-52.5%0.260.061.9x4174%
SMA 크로스오버
fast=41, slow=107
3.0%-68.6%0.250.041.8x5853%
ROC 모멘텀
n=88, threshold=-0.05
-0.8%-67.8%0.11-0.010.8x21764%
EMA 크로스오버
fast=40, slow=66
-2.3%-72.2%0.04-0.030.6x6353%
Buy and hold4.8%-75.1%0.320.062.5x1100%
1x 2008 2011 2014 2017 2020 2023 2026 Parabolic SAR볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Parabolic SAR (CAGR reference), Buy and hold.
0% -19% -38% -56% -75% 2008 2011 2014 2017 2020 2023 2026 Buy and holdParabolic SAR볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -49.5% (2017-02-03 → 2019-11-08), recovered after 1,718 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore BR assetsAll asset reports

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