Trend-Following Backtester · Guide · backtest 한국어
equity · CO
Interconexion Electrica SA ESP backtest
10 trend-following strategies were compared on the full daily history of Interconexion Electrica SA ESP. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.3%, drawdown -90.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 0.6%, MDD -91.6%, Sharpe 0.30, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.7%, MDD -90.7%, exposure 48%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=14, slow=171 |
0.6% | -91.6% | 0.30 | 0.01 | 1.1x | 53 | 61% |
| SMA 크로스오버 fast=8, slow=182 |
-0.8% | -91.4% | 0.26 | -0.01 | 0.8x | 81 | 59% |
| Donchian 채널 돌파 entryN=30, exitN=40 |
-1.0% | -91.5% | 0.25 | -0.01 | 0.8x | 77 | 65% |
| Supertrend period=20, mult=5 |
-1.8% | -92.4% | 0.22 | -0.02 | 0.6x | 81 | 64% |
| ROC 모멘텀 n=113, threshold=0.04 |
4.7% | -90.7% | 0.21 | 0.05 | 3.2x | 228 | 48% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.2% | -91.7% | 0.17 | -0.03 | 0.4x | 166 | 57% |
| 볼린저 밴드 돌파 n=36, k=2.3 |
-3.6% | -91.6% | 0.14 | -0.04 | 0.4x | 110 | 27% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=19, mult=2.5 |
-4.5% | -92.6% | 0.10 | -0.05 | 0.3x | 106 | 39% |
| ADX / DI 방향성 period=35, threshold=23 |
0.2% | -40.9% | 0.07 | 0.01 | 1.1x | 48 | 12% |
| MACD fast=19, slow=52, signal=24 |
-5.9% | -91.2% | 0.06 | -0.06 | 0.2x | 236 | 50% |
| Buy and hold | 14.3% | -90.8% | 0.27 | 0.16 | 27.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 14-day EMA crosses above the 171-day EMA
- Sell — Sell when the 14-day EMA falls below the 171-day EMA