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Trend-Following Backtester · Guide · backtest 한국어

equity · BR

Fleury SA backtest

10 trend-following strategies were compared on the full daily history of Fleury SA. 3 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 3.8%, MDD -10.7%).

Data 2009-12-17 ~ 2026-07-31daily bars 4,128 (16.6 years)Costs 0.5%Venue BMFBOVESPAMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 4.2%, drawdown -66.1%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.8%, MDD -10.7%, Sharpe 0.59, 5% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 6.3%, MDD -30.2%, exposure 29%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 55.4%p (CAGR 3.8%, MDD -10.7%, exposure 5%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=29, atrPeriod=19, mult=3.9
3.8%-10.7%0.590.351.8x85%
ADX / DI 방향성
period=19, threshold=34
3.7%-11.9%0.550.311.8x185%
Donchian 채널 돌파
entryN=75, exitN=19
6.3%-30.2%0.470.212.8x3629%
볼린저 밴드 돌파
n=60, k=2.8
5.2%-27.2%0.460.192.3x3223%
ROC 모멘텀
n=71, threshold=0.28
2.8%-21.8%0.380.131.6x527%
Supertrend
period=6, mult=2.7
4.2%-53.1%0.300.082.0x10152%
MACD
fast=34, slow=64, signal=33
3.8%-64.8%0.290.061.9x9750%
EMA 크로스오버
fast=13, slow=72
1.8%-56.9%0.190.031.3x7549%
SMA 크로스오버
fast=12, slow=160
1.7%-57.1%0.190.031.3x4946%
Parabolic SAR
step=0.005, maxStep=0.22
-3.1%-72.5%-0.06-0.040.6x14549%
Buy and hold4.2%-66.1%0.290.062.0x1100%
1x 2010 2013 2016 2019 2022 2025 Donchian 채널 돌파Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -17% -33% -50% -66% 2010 2013 2016 2019 2022 2025 Buy and holdDonchian 채널 돌파Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -10.7% (2017-05-12 → 2019-08-16), prior peak not yet recovered.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore BR assetsAll asset reports

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