SleepWell Trade

Trend-Following Backtester · Guide · backtest 한국어

equity · BR

Suzano S.A. backtest

10 trend-following strategies were compared on the full daily history of Suzano S.A.. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 21.1%, MDD -29.6%).

Data 2004-08-05 ~ 2026-08-31daily bars 5,495 (22.1 years)Costs 0.5%Venue BMFBOVESPAMonthly snapshot 2026-08-31

Results by strategy

3 of 10 beat buy and hold (CAGR 8.1%, drawdown -90.0%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.1%, MDD -23.4%, Sharpe 0.50, 52% exposure.

CAGR reference leader: MACD — CAGR 21.1%, MDD -29.6%, exposure 24%.

Return/drawdown alternative: MACD — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 66.7%p (CAGR 21.1%, MDD -29.6%, exposure 24%).

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
ADX / DI 방향성
period=40, threshold=26
5.1%-23.4%0.500.223.0x1052%
SMA 크로스오버
fast=17, slow=48
4.4%-55.8%0.350.082.6x5523%
Keltner 채널 돌파
emaPeriod=30, atrPeriod=20, mult=1.4
3.0%-38.0%0.270.081.9x7970%
MACD
fast=17, slow=51, signal=22
21.1%-29.6%0.230.7167.8x7924%
ROC 모멘텀
n=55, threshold=-0.03
10.1%-86.7%0.220.128.4x9382%
Donchian 채널 돌파
entryN=21, exitN=26
9.4%-86.7%0.220.117.2x4780%
Parabolic SAR
step=0.005, maxStep=0.3
0.9%-50.9%0.150.021.2x8367%
EMA 크로스오버
fast=28, slow=29
1.1%-57.6%0.150.021.3x5365%
Supertrend
period=30, mult=3.8
-3.0%-86.7%0.14-0.030.5x4577%
볼린저 밴드 돌파
n=53, k=1.6
-5.6%-86.7%0.02-0.060.3x4972%
Buy and hold8.1%-90.0%0.220.095.6x1100%
0.1 1x 10x 2005 2008 2011 2014 2017 2020 2023 2026 MACDADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), MACD (CAGR reference), Buy and hold.
0% -23% -45% -68% -90% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and holdMACDADX / DI 방향성
ADX / DI 방향성 maximum drawdown -23.4% (2018-06-06 → 2018-07-20), recovered after 91 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

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

Read next