Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Empresa Distribuidora Y Comercializadora Norte S.A. Class B backtest
10 trend-following strategies were compared on the full daily history of Empresa Distribuidora Y Comercializadora Norte S.A. Class B. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 41.7%, MDD -54.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 40.0%, drawdown -86.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 47.5%, MDD -55.5%, Sharpe 1.11, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 41.7%, MDD -54.7%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=12, slow=195 |
47.5% | -55.5% | 1.11 | 0.86 | 1827.0x | 22 | 64% |
| EMA 크로스오버 fast=38, slow=55 |
41.7% | -54.7% | 1.04 | 0.76 | 846.9x | 52 | 59% |
| ROC 모멘텀 n=128, threshold=-0.04 |
39.7% | -81.4% | 0.97 | 0.49 | 644.5x | 102 | 67% |
| Donchian 채널 돌파 entryN=74, exitN=50 |
34.0% | -75.2% | 0.94 | 0.45 | 287.9x | 30 | 50% |
| Supertrend period=11, mult=2.5 |
32.9% | -75.4% | 0.92 | 0.44 | 243.3x | 156 | 53% |
| Parabolic SAR step=0.015, maxStep=0.36 |
32.6% | -77.1% | 0.91 | 0.42 | 235.7x | 295 | 51% |
| MACD fast=10, slow=23, signal=12 |
30.5% | -89.1% | 0.86 | 0.34 | 172.8x | 309 | 49% |
| 볼린저 밴드 돌파 n=44, k=1.1 |
27.9% | -77.0% | 0.84 | 0.36 | 116.7x | 130 | 46% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=12, mult=1.7 |
28.0% | -78.8% | 0.84 | 0.36 | 118.6x | 84 | 47% |
| ADX / DI 방향성 period=21, threshold=16 |
25.0% | -78.6% | 0.79 | 0.32 | 74.3x | 194 | 40% |
| Buy and hold | 40.0% | -86.9% | 0.82 | 0.46 | 668.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 12-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 12-day average falls below the 195-day average