Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Engie Energia Chile S.A. backtest
10 trend-following strategies were compared on the full daily history of Engie Energia Chile S.A.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 16.3%, MDD -38.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 14.9%, drawdown -76.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.1%, MDD -46.8%, Sharpe 0.90, 55% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 29.8%p (CAGR 16.3%, MDD -38.0%, exposure 40%).
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=72, slow=242 |
22.1% | -46.8% | 0.90 | 0.47 | 202.9x | 21 | 55% |
| EMA 크로스오버 fast=64, slow=255 |
21.2% | -46.8% | 0.86 | 0.45 | 165.5x | 15 | 58% |
| ROC 모멘텀 n=203, threshold=0.05 |
19.1% | -46.8% | 0.82 | 0.41 | 103.9x | 133 | 50% |
| Donchian 채널 돌파 entryN=130, exitN=54 |
18.0% | -47.3% | 0.79 | 0.38 | 80.4x | 27 | 44% |
| ADX / DI 방향성 period=47, threshold=11 |
16.3% | -38.0% | 0.73 | 0.43 | 54.7x | 141 | 40% |
| 볼린저 밴드 돌파 n=32, k=2.8 |
11.2% | -34.5% | 0.63 | 0.32 | 16.6x | 84 | 20% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=13, mult=3.4 |
9.5% | -32.1% | 0.59 | 0.30 | 11.2x | 60 | 10% |
| Supertrend period=29, mult=4.7 |
12.4% | -57.9% | 0.56 | 0.21 | 22.4x | 109 | 61% |
| Parabolic SAR step=0.01, maxStep=0.14 |
11.7% | -61.5% | 0.55 | 0.19 | 18.9x | 301 | 50% |
| MACD fast=13, slow=19, signal=12 |
8.7% | -78.8% | 0.44 | 0.11 | 9.2x | 447 | 47% |
| Buy and hold | 14.9% | -76.6% | 0.56 | 0.19 | 40.4x | 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 72-day average price crosses above the 242-day average
- Sell — Sell (to cash) when the 72-day average falls below the 242-day average