Trend-Following Backtester · Guide · backtest 한국어
equity · PT
CTT - Correios de Portugal SA backtest
10 trend-following strategies were compared on the full daily history of CTT - Correios de Portugal SA. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.4%, MDD -7.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.6%, drawdown -82.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.8%, MDD -16.4%, Sharpe 0.84, 9% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 66.5%p (CAGR 3.4%, MDD -7.8%, exposure 3%).
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=20, atrPeriod=16, mult=4 |
7.8% | -16.4% | 0.84 | 0.48 | 2.6x | 12 | 9% |
| 볼린저 밴드 돌파 n=32, k=3.4 |
3.4% | -7.8% | 0.68 | 0.43 | 1.5x | 4 | 3% |
| ADX / DI 방향성 period=20, threshold=34 |
5.6% | -17.6% | 0.65 | 0.32 | 2.0x | 18 | 8% |
| ROC 모멘텀 n=51, threshold=0.13 |
6.6% | -38.6% | 0.57 | 0.17 | 2.2x | 84 | 17% |
| SMA 크로스오버 fast=50, slow=203 |
7.0% | -54.9% | 0.43 | 0.13 | 2.4x | 14 | 44% |
| Donchian 채널 돌파 entryN=84, exitN=68 |
6.4% | -39.6% | 0.43 | 0.16 | 2.2x | 16 | 37% |
| Supertrend period=8, mult=1.8 |
4.3% | -59.8% | 0.30 | 0.07 | 1.7x | 157 | 50% |
| EMA 크로스오버 fast=34, slow=41 |
3.8% | -45.4% | 0.28 | 0.08 | 1.6x | 48 | 48% |
| Parabolic SAR step=0.015, maxStep=0.32 |
0.8% | -72.0% | 0.14 | 0.01 | 1.1x | 214 | 51% |
| MACD fast=18, slow=35, signal=8 |
-3.0% | -79.8% | -0.03 | -0.04 | 0.7x | 193 | 50% |
| Buy and hold | 0.6% | -82.8% | 0.17 | 0.01 | 1.1x | 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 20-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average