Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Vivara Participacoes SA backtest
10 trend-following strategies were compared on the full daily history of Vivara Participacoes SA. 9 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 2.1%, MDD -9.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.1%, drawdown -67.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.0%, MDD -34.6%, Sharpe 0.63, 39% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.1%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 2.1%, MDD -9.4%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=47, k=1.4 |
12.0% | -34.6% | 0.63 | 0.35 | 2.2x | 32 | 39% |
| Supertrend period=13, mult=3.2 |
9.2% | -35.3% | 0.47 | 0.26 | 1.8x | 33 | 52% |
| SMA 크로스오버 fast=22, slow=52 |
7.7% | -36.5% | 0.42 | 0.21 | 1.7x | 31 | 50% |
| Donchian 채널 돌파 entryN=19, exitN=12 |
7.2% | -41.9% | 0.41 | 0.17 | 1.6x | 38 | 44% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=11, mult=3.3 |
2.1% | -9.4% | 0.35 | 0.22 | 1.2x | 4 | 4% |
| ADX / DI 방향성 period=18, threshold=33 |
1.8% | -10.1% | 0.30 | 0.18 | 1.1x | 8 | 6% |
| MACD fast=15, slow=52, signal=18 |
4.6% | -48.1% | 0.30 | 0.10 | 1.4x | 71 | 48% |
| EMA 크로스오버 fast=12, slow=41 |
4.2% | -47.1% | 0.29 | 0.09 | 1.3x | 42 | 52% |
| ROC 모멘텀 n=56, threshold=0.08 |
3.0% | -30.1% | 0.25 | 0.10 | 1.2x | 78 | 38% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-2.2% | -59.8% | 0.07 | -0.04 | 0.9x | 142 | 51% |
| Buy and hold | -1.1% | -67.2% | 0.22 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 47-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 47-day middle average