Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Transmissora Alianca De Energia Eletrica S.A. backtest
10 trend-following strategies were compared on the full daily history of Transmissora Alianca De Energia Eletrica S.A.. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 1.4%, MDD -29.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 1.2%, drawdown -42.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 1.4%, MDD -29.5%, Sharpe 0.17, 52% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 12.7%p (CAGR 1.4%, MDD -29.5%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.2 |
1.4% | -29.5% | 0.17 | 0.05 | 1.3x | 66 | 52% |
| EMA 크로스오버 fast=38, slow=216 |
0.9% | -30.5% | 0.14 | 0.03 | 1.2x | 15 | 25% |
| ADX / DI 방향성 period=8, threshold=40 |
0.6% | -18.4% | 0.12 | 0.03 | 1.1x | 62 | 5% |
| SMA 크로스오버 fast=55, slow=163 |
0.4% | -31.3% | 0.10 | 0.01 | 1.1x | 22 | 23% |
| ROC 모멘텀 n=116, threshold=0.09 |
0.4% | -27.9% | 0.09 | 0.01 | 1.1x | 52 | 12% |
| 볼린저 밴드 돌파 n=58, k=2.2 |
0.2% | -24.8% | 0.07 | 0.01 | 1.0x | 32 | 13% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=12, mult=2.7 |
0.1% | -25.7% | 0.06 | 0.00 | 1.0x | 26 | 9% |
| Donchian 채널 돌파 entryN=121, exitN=41 |
-0.3% | -28.4% | 0.03 | -0.01 | 0.9x | 18 | 63% |
| Supertrend period=20, mult=3.8 |
-2.3% | -51.6% | -0.09 | -0.04 | 0.6x | 44 | 51% |
| MACD fast=19, slow=22, signal=21 |
-4.0% | -63.9% | -0.22 | -0.06 | 0.5x | 120 | 46% |
| Buy and hold | 1.2% | -42.2% | 0.16 | 0.03 | 1.3x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots