Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Vibra Energia SA backtest
10 trend-following strategies were compared on the full daily history of Vibra Energia SA. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.3%, MDD -11.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.5%, drawdown -60.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.3%, MDD -11.0%, Sharpe 0.65, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.2%, MDD -35.0%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 49.3%p (CAGR 6.3%, MDD -11.0%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=51, threshold=17 |
6.3% | -11.0% | 0.65 | 0.57 | 1.7x | 4 | 13% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
9.0% | -19.0% | 0.61 | 0.48 | 2.1x | 12 | 27% |
| SMA 크로스오버 fast=28, slow=44 |
12.2% | -35.0% | 0.60 | 0.35 | 2.6x | 43 | 54% |
| Donchian 채널 돌파 entryN=97, exitN=62 |
8.3% | -30.1% | 0.50 | 0.28 | 2.0x | 11 | 41% |
| ROC 모멘텀 n=59, threshold=-0.04 |
8.5% | -51.2% | 0.45 | 0.17 | 2.0x | 83 | 65% |
| Supertrend period=13, mult=3.5 |
8.0% | -40.1% | 0.43 | 0.20 | 1.9x | 33 | 59% |
| EMA 크로스오버 fast=8, slow=40 |
7.4% | -49.6% | 0.42 | 0.15 | 1.8x | 53 | 57% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=2.6 |
5.8% | -32.5% | 0.41 | 0.18 | 1.6x | 23 | 33% |
| MACD fast=16, slow=61, signal=14 |
0.8% | -62.4% | 0.16 | 0.01 | 1.1x | 93 | 50% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.8% | -70.0% | -0.07 | -0.07 | 0.7x | 81 | 52% |
| Buy and hold | 6.5% | -60.3% | 0.36 | 0.11 | 1.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 51-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)