Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Vamos Locacao de Caminhoes, Maquinas e Equipamentos SA backtest
10 trend-following strategies were compared on the full daily history of Vamos Locacao de Caminhoes, Maquinas e Equipamentos SA. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.7%, MDD -13.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.3%, drawdown -86.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.7%, MDD -13.5%, Sharpe 0.76, 6% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.0%p higher than buy and hold, while drawdown improves by 72.8%p (CAGR 5.7%, MDD -13.5%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=16, mult=3.7 |
5.7% | -13.5% | 0.76 | 0.42 | 1.4x | 4 | 6% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
5.0% | -16.6% | 0.71 | 0.30 | 1.3x | 2 | 5% |
| ADX / DI 방향성 period=37, threshold=24 |
4.6% | -23.4% | 0.50 | 0.20 | 1.3x | 2 | 5% |
| Donchian 채널 돌파 entryN=54, exitN=9 |
3.9% | -34.4% | 0.34 | 0.11 | 1.2x | 12 | 12% |
| SMA 크로스오버 fast=43, slow=63 |
-0.7% | -62.6% | 0.12 | -0.01 | 1.0x | 29 | 36% |
| MACD fast=11, slow=35, signal=10 |
-2.4% | -67.8% | 0.11 | -0.03 | 0.9x | 89 | 49% |
| ROC 모멘텀 n=13, threshold=0.09 |
-2.2% | -50.4% | 0.03 | -0.04 | 0.9x | 110 | 23% |
| Supertrend period=25, mult=1.8 |
-7.1% | -78.8% | -0.06 | -0.09 | 0.7x | 75 | 44% |
| Parabolic SAR step=0.03, maxStep=0.24 |
-12.5% | -78.8% | -0.19 | -0.16 | 0.5x | 157 | 47% |
| EMA 크로스오버 fast=53, slow=205 |
-10.8% | -56.9% | -0.55 | -0.19 | 0.5x | 8 | 15% |
| Buy and hold | -16.3% | -86.3% | -0.09 | -0.19 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 23-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 23-day average