Trend-Following Backtester · Guide · backtest 한국어
equity · BR
CPFL Energia S.A. backtest
10 trend-following strategies were compared on the full daily history of CPFL Energia S.A.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 21.5%, drawdown -62.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.6%, MDD -50.7%, Sharpe 0.22, 54% exposure.
CAGR reference leader: MACD — CAGR 11.9%, MDD -81.6%, exposure 46%.
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=66, slow=73 |
2.6% | -50.7% | 0.22 | 0.05 | 2.0x | 142 | 54% |
| MACD fast=7, slow=49, signal=13 |
11.9% | -81.6% | 0.21 | 0.15 | 19.7x | 408 | 46% |
| EMA 크로스오버 fast=63, slow=69 |
10.6% | -81.4% | 0.20 | 0.13 | 14.6x | 56 | 60% |
| ROC 모멘텀 n=99, threshold=-0.03 |
6.6% | -74.8% | 0.19 | 0.09 | 5.4x | 254 | 66% |
| Supertrend period=25, mult=5 |
4.9% | -94.2% | 0.19 | 0.05 | 3.6x | 74 | 55% |
| ADX / DI 방향성 period=12, threshold=36 |
2.9% | -93.4% | 0.18 | 0.03 | 2.2x | 110 | 23% |
| 볼린저 밴드 돌파 n=58, k=2.6 |
0.4% | -73.0% | 0.11 | 0.00 | 1.1x | 56 | 27% |
| Donchian 채널 돌파 entryN=107, exitN=40 |
0.1% | -61.1% | 0.10 | 0.00 | 1.0x | 50 | 39% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-8.4% | -93.6% | -0.14 | -0.09 | 0.1x | 394 | 52% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=27, mult=3.6 |
-6.1% | -94.8% | -0.15 | -0.06 | 0.2x | 48 | 26% |
| Buy and hold | 21.5% | -62.9% | 0.25 | 0.34 | 176.7x | 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 66-day average price crosses above the 73-day average
- Sell — Sell (to cash) when the 66-day average falls below the 73-day average