Trend-Following Backtester · Guide · backtest 한국어

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TRX Real Estate Fundo Investimento Imobiliario backtest

10 trend-following strategies were compared on the full daily history of TRX Real Estate Fundo Investimento Imobiliario. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.1%, MDD -4.3%).

Data 2020-01-23 ~ 2026-07-31daily bars 1,624 (6.5 years)Costs 0.5%Venue BMFBOVESPAMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -3.8%, drawdown -31.3%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.5%, MDD -6.3%, Sharpe 0.60, 13% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 25.0%p (CAGR 1.1%, MDD -4.3%, exposure 4%).

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=17, k=2.8
2.5%-6.3%0.600.411.2x2013%
Keltner 채널 돌파
emaPeriod=12, atrPeriod=17, mult=3.7
1.1%-4.3%0.510.261.1x44%
ADX / DI 방향성
period=27, threshold=29
1.2%-7.0%0.330.171.1x169%
Donchian 채널 돌파
entryN=27, exitN=21
1.1%-12.8%0.200.081.1x1742%
SMA 크로스오버
fast=26, slow=49
0.4%-13.1%0.090.031.0x3039%
EMA 크로스오버
fast=24, slow=242
0.1%-11.5%0.040.011.0x631%
ROC 모멘텀
n=45, threshold=0.02
0.0%-14.1%0.030.001.0x4424%
Supertrend
period=6, mult=2.8
-0.4%-15.8%-0.01-0.031.0x2744%
MACD
fast=31, slow=55, signal=19
-0.5%-22.2%-0.03-0.021.0x3749%
Parabolic SAR
step=0.005, maxStep=0.32
-1.7%-24.9%-0.17-0.070.9x4046%
Buy and hold-3.8%-31.3%-0.20-0.120.8x1100%
1x 2021 2022 2023 2024 2025 2026 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -8% -16% -23% -31% 2021 2022 2023 2024 2025 2026 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -6.3% (2020-06-08 → 2021-01-04), recovered after 249 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 selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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