Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Companhia Paranaense de Energia backtest
10 trend-following strategies were compared on the full daily history of Companhia Paranaense de Energia. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.2%, MDD -56.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.0%, drawdown -75.4%).
Sharpe leader (same as main): Supertrend — CAGR 10.2%, MDD -56.9%, Sharpe 0.52, 53% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 10.2%, MDD -56.9%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=4.3 |
10.2% | -56.9% | 0.52 | 0.18 | 13.1x | 92 | 53% |
| 볼린저 밴드 돌파 n=56, k=2.5 |
6.8% | -43.0% | 0.46 | 0.16 | 5.7x | 68 | 28% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
10.1% | -75.7% | 0.45 | 0.13 | 12.8x | 7 | 100% |
| SMA 크로스오버 fast=19, slow=51 |
8.0% | -58.2% | 0.43 | 0.14 | 7.8x | 137 | 56% |
| Donchian 채널 돌파 entryN=67, exitN=32 |
6.8% | -52.6% | 0.41 | 0.13 | 5.7x | 70 | 44% |
| MACD fast=24, slow=58, signal=33 |
6.7% | -65.5% | 0.39 | 0.10 | 5.6x | 200 | 51% |
| EMA 크로스오버 fast=18, slow=212 |
6.4% | -68.5% | 0.36 | 0.09 | 5.2x | 57 | 61% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=9, mult=3.3 |
2.7% | -46.4% | 0.24 | 0.06 | 2.0x | 88 | 29% |
| ADX / DI 방향성 period=27, threshold=31 |
1.3% | -20.4% | 0.23 | 0.06 | 1.4x | 16 | 4% |
| Parabolic SAR step=0.005, maxStep=0.28 |
2.7% | -65.7% | 0.23 | 0.04 | 2.0x | 212 | 52% |
| Buy and hold | 10.0% | -75.4% | 0.44 | 0.13 | 12.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)