Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Eneva S.A. backtest
10 trend-following strategies were compared on the full daily history of Eneva S.A.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -19.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.0%, drawdown -98.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.5%, MDD -32.0%, Sharpe 0.70, 24% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 12.4%, MDD -47.0%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 67.0%p (CAGR 2.0%, MDD -19.8%, exposure 7%).
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=54, atrPeriod=10, mult=3.3 |
10.5% | -32.0% | 0.70 | 0.33 | 6.4x | 34 | 24% |
| Donchian 채널 돌파 entryN=115, exitN=73 |
12.1% | -43.9% | 0.67 | 0.27 | 8.3x | 17 | 33% |
| EMA 크로스오버 fast=43, slow=218 |
12.4% | -47.0% | 0.61 | 0.26 | 8.9x | 21 | 48% |
| 볼린저 밴드 돌파 n=43, k=2.5 |
10.2% | -48.8% | 0.58 | 0.21 | 6.1x | 54 | 27% |
| SMA 크로스오버 fast=22, slow=126 |
11.9% | -68.1% | 0.56 | 0.17 | 8.1x | 37 | 51% |
| ROC 모멘텀 n=105, threshold=0.14 |
8.2% | -64.6% | 0.47 | 0.13 | 4.3x | 117 | 33% |
| Supertrend period=17, mult=5 |
7.9% | -80.5% | 0.41 | 0.10 | 4.2x | 39 | 54% |
| ADX / DI 방향성 period=25, threshold=30 |
2.0% | -19.8% | 0.26 | 0.10 | 1.4x | 26 | 7% |
| MACD fast=17, slow=56, signal=19 |
-1.5% | -96.1% | 0.14 | -0.02 | 0.7x | 172 | 52% |
| Parabolic SAR step=0.025, maxStep=0.1 |
-1.3% | -80.9% | 0.10 | -0.02 | 0.8x | 362 | 52% |
| Buy and hold | -10.0% | -98.9% | 0.04 | -0.10 | 0.1x | 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 54-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 54-day average