Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Usinas Siderurgicas de Minas Gerais SA-Usiminas backtest
10 trend-following strategies were compared on the full daily history of Usinas Siderurgicas de Minas Gerais SA-Usiminas. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.9%, MDD -48.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.5%, drawdown -93.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.0%, MDD -56.1%, Sharpe 0.63, 38% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 37.5%p (CAGR 13.9%, MDD -48.8%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=95, threshold=0.13 |
16.0% | -56.1% | 0.63 | 0.29 | 51.3x | 174 | 38% |
| 볼린저 밴드 돌파 n=58, k=2 |
13.9% | -48.8% | 0.60 | 0.29 | 31.9x | 86 | 34% |
| SMA 크로스오버 fast=9, slow=167 |
14.9% | -68.9% | 0.57 | 0.22 | 40.0x | 73 | 50% |
| Donchian 채널 돌파 entryN=90, exitN=31 |
12.3% | -78.6% | 0.56 | 0.16 | 21.9x | 52 | 36% |
| EMA 크로스오버 fast=39, slow=84 |
13.4% | -68.7% | 0.53 | 0.19 | 28.0x | 61 | 50% |
| Parabolic SAR step=0.01, maxStep=0.24 |
12.7% | -69.3% | 0.51 | 0.18 | 24.2x | 314 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=15, mult=1.9 |
10.3% | -67.1% | 0.48 | 0.15 | 13.5x | 154 | 38% |
| ADX / DI 방향성 period=25, threshold=16 |
10.1% | -57.1% | 0.47 | 0.18 | 12.8x | 222 | 34% |
| Supertrend period=25, mult=4.8 |
10.5% | -73.8% | 0.46 | 0.14 | 14.1x | 116 | 50% |
| MACD fast=24, slow=64, signal=22 |
10.7% | -71.3% | 0.46 | 0.15 | 15.0x | 212 | 51% |
| Buy and hold | 4.5% | -93.6% | 0.35 | 0.05 | 3.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 95-day return is greater than 13%
- Sell — Sell when the 95-day return drops to 13% or below