Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Enel Generacion Chile S.A. backtest
10 trend-following strategies were compared on the full daily history of Enel Generacion Chile S.A.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.5%, MDD -64.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.8%, drawdown -87.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -64.9%, Sharpe 0.45, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 22.2%p (CAGR 7.5%, MDD -64.6%, exposure 57%).
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=57, slow=138 |
8.5% | -64.9% | 0.45 | 0.13 | 8.7x | 37 | 58% |
| EMA 크로스오버 fast=44, slow=126 |
7.5% | -64.6% | 0.41 | 0.12 | 6.8x | 37 | 57% |
| Donchian 채널 돌파 entryN=118, exitN=73 |
5.0% | -78.4% | 0.31 | 0.06 | 3.6x | 29 | 53% |
| ROC 모멘텀 n=137, threshold=-0.04 |
1.7% | -92.6% | 0.20 | 0.02 | 1.6x | 173 | 64% |
| ADX / DI 방향성 period=23, threshold=28 |
1.8% | -39.8% | 0.19 | 0.04 | 1.6x | 42 | 9% |
| Supertrend period=29, mult=2.5 |
-3.3% | -92.8% | 0.01 | -0.04 | 0.4x | 245 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-4.0% | -91.5% | -0.01 | -0.04 | 0.3x | 412 | 50% |
| MACD fast=14, slow=32, signal=16 |
-4.9% | -90.8% | -0.04 | -0.05 | 0.3x | 359 | 50% |
| 볼린저 밴드 돌파 n=19, k=1.2 |
-4.5% | -92.5% | -0.07 | -0.05 | 0.3x | 361 | 41% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=12, mult=1.1 |
-5.4% | -95.2% | -0.11 | -0.06 | 0.2x | 223 | 48% |
| Buy and hold | 4.8% | -87.1% | 0.30 | 0.05 | 3.5x | 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 57-day average price crosses above the 138-day average
- Sell — Sell (to cash) when the 57-day average falls below the 138-day average