Trend-Following Backtester · Guide · backtest 한국어
equity · DE
E.ON SE backtest
10 trend-following strategies were compared on the full daily history of E.ON SE. 2 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 0.9%, MDD -6.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.9%, drawdown -86.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.9%, MDD -6.8%, Sharpe 0.32, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.2%, MDD -66.4%, exposure 58%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 80.1%p (CAGR 0.9%, MDD -6.8%, exposure 2%).
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=18, k=3.3 |
0.9% | -6.8% | 0.32 | 0.13 | 1.3x | 8 | 2% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
1.1% | -86.6% | 0.18 | 0.01 | 1.3x | 3 | 100% |
| SMA 크로스오버 fast=57, slow=134 |
1.2% | -66.4% | 0.16 | 0.02 | 1.4x | 52 | 58% |
| Donchian 채널 돌파 entryN=13, exitN=63 |
0.4% | -74.0% | 0.13 | 0.01 | 1.1x | 87 | 80% |
| EMA 크로스오버 fast=19, slow=128 |
0.3% | -74.9% | 0.10 | 0.00 | 1.1x | 77 | 56% |
| ADX / DI 방향성 period=23, threshold=39 |
0.1% | -9.6% | 0.08 | 0.01 | 1.0x | 6 | 0% |
| Supertrend period=24, mult=4.9 |
-0.2% | -72.2% | 0.07 | -0.00 | 1.0x | 85 | 52% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=26, mult=4 |
0.2% | -11.4% | 0.07 | 0.01 | 1.0x | 8 | 1% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-3.8% | -78.7% | -0.12 | -0.05 | 0.4x | 231 | 51% |
| MACD fast=16, slow=40, signal=19 |
-7.0% | -90.9% | -0.31 | -0.08 | 0.1x | 369 | 50% |
| Buy and hold | 0.9% | -86.9% | 0.17 | 0.01 | 1.3x | 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 18-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 18-day middle average