Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Enel Chile SA backtest
10 trend-following strategies were compared on the full daily history of Enel Chile SA. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.6%, MDD -18.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.9%, drawdown -77.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -38.3%, Sharpe 0.47, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 3.6%, MDD -18.6%, exposure 16%).
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=55, slow=123 |
7.3% | -38.3% | 0.47 | 0.19 | 2.1x | 19 | 51% |
| Donchian 채널 돌파 entryN=45, exitN=60 |
7.1% | -31.4% | 0.45 | 0.23 | 2.0x | 21 | 54% |
| EMA 크로스오버 fast=5, slow=169 |
5.0% | -40.0% | 0.37 | 0.13 | 1.7x | 27 | 50% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=23, mult=2.2 |
3.6% | -18.6% | 0.35 | 0.19 | 1.4x | 34 | 16% |
| ROC 모멘텀 n=94, threshold=-0.06 |
3.4% | -62.6% | 0.27 | 0.05 | 1.4x | 59 | 62% |
| Supertrend period=20, mult=4.5 |
1.9% | -35.9% | 0.20 | 0.05 | 1.2x | 29 | 49% |
| ADX / DI 방향성 period=24, threshold=25 |
1.3% | -22.0% | 0.19 | 0.06 | 1.1x | 12 | 7% |
| 볼린저 밴드 돌파 n=31, k=3.1 |
1.1% | -21.0% | 0.17 | 0.05 | 1.1x | 12 | 7% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.3% | -68.7% | -0.03 | -0.03 | 0.8x | 87 | 48% |
| MACD fast=14, slow=24, signal=17 |
-4.2% | -66.5% | -0.11 | -0.06 | 0.6x | 144 | 50% |
| Buy and hold | -0.9% | -77.4% | 0.11 | -0.01 | 0.9x | 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 55-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 55-day average falls below the 123-day average