Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Enel Americas S.A. backtest
10 trend-following strategies were compared on the full daily history of Enel Americas S.A.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.7%, MDD -13.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR -2.1%, drawdown -79.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -13.7%, Sharpe 0.21, 1% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 65.6%p (CAGR 0.7%, MDD -13.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=13, k=3.1 |
0.7% | -13.7% | 0.21 | 0.05 | 1.2x | 6 | 1% |
| SMA 크로스오버 fast=77, slow=219 |
0.5% | -68.1% | 0.12 | 0.01 | 1.1x | 30 | 50% |
| Donchian 채널 돌파 entryN=147, exitN=32 |
0.5% | -32.8% | 0.10 | 0.01 | 1.1x | 36 | 19% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=20, mult=3.6 |
0.3% | -37.8% | 0.08 | 0.01 | 1.1x | 46 | 15% |
| EMA 크로스오버 fast=58, slow=201 |
-0.4% | -65.8% | 0.06 | -0.01 | 0.9x | 32 | 47% |
| ADX / DI 방향성 period=29, threshold=31 |
-0.2% | -19.6% | -0.03 | -0.01 | 1.0x | 10 | 2% |
| Supertrend period=15, mult=3.3 |
-4.2% | -76.2% | -0.19 | -0.06 | 0.3x | 147 | 48% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-4.6% | -82.5% | -0.19 | -0.06 | 0.3x | 345 | 49% |
| ROC 모멘텀 n=85, threshold=-0.05 |
-5.4% | -88.1% | -0.21 | -0.06 | 0.2x | 287 | 66% |
| MACD fast=14, slow=40, signal=19 |
-6.5% | -85.6% | -0.30 | -0.08 | 0.2x | 331 | 51% |
| Buy and hold | -2.1% | -79.3% | 0.05 | -0.03 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 13-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 13-day middle average