Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Companhia Energetica de Minas Gerais SA backtest
10 trend-following strategies were compared on the full daily history of Companhia Energetica de Minas Gerais SA. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.6%, MDD -41.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -85.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.4%, MDD -42.5%, Sharpe 0.41, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.6%, MDD -41.3%, exposure 47%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.7%p lower than buy and hold, while drawdown improves by 42.9%p (CAGR 6.6%, MDD -41.3%, exposure 47%).
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=19, atrPeriod=15, mult=3.2 |
4.4% | -42.5% | 0.41 | 0.10 | 3.2x | 38 | 7% |
| Donchian 채널 돌파 entryN=37, exitN=27 |
6.6% | -41.3% | 0.37 | 0.16 | 5.4x | 103 | 47% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
2.5% | -21.7% | 0.37 | 0.12 | 1.9x | 12 | 3% |
| ADX / DI 방향성 period=33, threshold=32 |
2.5% | -17.6% | 0.36 | 0.14 | 1.9x | 10 | 3% |
| SMA 크로스오버 fast=7, slow=118 |
6.1% | -49.3% | 0.35 | 0.12 | 4.8x | 103 | 58% |
| Supertrend period=24, mult=4.5 |
5.9% | -55.8% | 0.34 | 0.11 | 4.6x | 84 | 51% |
| MACD fast=17, slow=28, signal=19 |
4.1% | -73.4% | 0.28 | 0.06 | 2.9x | 325 | 52% |
| EMA 크로스오버 fast=21, slow=210 |
4.0% | -70.9% | 0.28 | 0.06 | 2.9x | 61 | 57% |
| ROC 모멘텀 n=110, threshold=-0.13 |
3.6% | -83.4% | 0.28 | 0.04 | 2.5x | 173 | 78% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.2% | -80.4% | 0.25 | 0.04 | 2.3x | 213 | 51% |
| Buy and hold | 8.1% | -85.4% | 0.40 | 0.09 | 7.9x | 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 19-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 19-day average