Trend-Following Backtester · Guide · backtest 한국어
equity · BR
AXIA Energia SA backtest
10 trend-following strategies were compared on the full daily history of AXIA Energia SA. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR 3.8%, drawdown -89.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.3%, MDD -84.5%, Sharpe 0.43, 48% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=18, slow=49 |
9.3% | -84.5% | 0.43 | 0.11 | 10.5x | 134 | 48% |
| MACD fast=19, slow=57, signal=17 |
8.4% | -76.4% | 0.41 | 0.11 | 8.6x | 257 | 50% |
| 볼린저 밴드 돌파 n=47, k=1 |
6.2% | -73.0% | 0.35 | 0.09 | 5.0x | 176 | 39% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=16, mult=3.5 |
2.8% | -31.8% | 0.30 | 0.09 | 2.1x | 32 | 5% |
| Supertrend period=8, mult=3.5 |
4.1% | -84.3% | 0.29 | 0.05 | 2.9x | 138 | 52% |
| Donchian 채널 돌파 entryN=21, exitN=28 |
1.2% | -94.9% | 0.21 | 0.01 | 1.4x | 130 | 57% |
| EMA 크로스오버 fast=10, slow=54 |
0.3% | -84.1% | 0.17 | 0.00 | 1.1x | 176 | 48% |
| ADX / DI 방향성 period=40, threshold=18 |
1.2% | -51.2% | 0.16 | 0.02 | 1.4x | 36 | 10% |
| ROC 모멘텀 n=47, threshold=-0.02 |
-1.9% | -93.6% | 0.11 | -0.02 | 0.6x | 394 | 54% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-6.9% | -95.9% | -0.06 | -0.07 | 0.2x | 571 | 49% |
| Buy and hold | 3.8% | -89.5% | 0.32 | 0.04 | 2.7x | 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 18-day average price crosses above the 49-day average
- Sell — Sell (to cash) when the 18-day average falls below the 49-day average