Trend-Following Backtester · Guide · backtest 한국어
equity · US
StoneCo Ltd. backtest
10 trend-following strategies were compared on the full daily history of StoneCo Ltd.. 10 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 8.5%, MDD -16.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.9%, drawdown -92.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.3%, MDD -25.3%, Sharpe 0.83, 14% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 30.3%p higher than buy and hold, while drawdown improves by 67.1%p (CAGR 8.5%, MDD -16.5%, 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=33, k=3.5 |
16.3% | -25.3% | 0.83 | 0.65 | 3.3x | 10 | 14% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=24, mult=3.5 |
8.5% | -16.5% | 0.65 | 0.51 | 1.9x | 6 | 4% |
| Donchian 채널 돌파 entryN=112, exitN=8 |
8.6% | -23.7% | 0.58 | 0.36 | 1.9x | 16 | 15% |
| SMA 크로스오버 fast=44, slow=54 |
9.0% | -57.3% | 0.42 | 0.16 | 2.0x | 50 | 47% |
| ADX / DI 방향성 period=33, threshold=14 |
7.6% | -50.6% | 0.40 | 0.15 | 1.8x | 38 | 26% |
| ROC 모멘텀 n=92, threshold=0.05 |
7.8% | -43.3% | 0.39 | 0.18 | 1.8x | 42 | 42% |
| EMA 크로스오버 fast=10, slow=145 |
6.9% | -49.3% | 0.37 | 0.14 | 1.7x | 16 | 42% |
| Parabolic SAR step=0.01, maxStep=0.22 |
3.9% | -62.9% | 0.31 | 0.06 | 1.4x | 114 | 50% |
| MACD fast=22, slow=31, signal=11 |
2.8% | -85.7% | 0.30 | 0.03 | 1.2x | 96 | 50% |
| Supertrend period=11, mult=2.8 |
-0.6% | -64.8% | 0.20 | -0.01 | 1.0x | 56 | 47% |
| Buy and hold | -13.9% | -92.3% | 0.11 | -0.15 | 0.3x | 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 33-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 33-day middle average