Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Enagas SA backtest
10 trend-following strategies were compared on the full daily history of Enagas SA. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.3%, drawdown -59.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.7%, MDD -62.7%, Sharpe 0.24, 57% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=83, exitN=67 |
2.7% | -62.7% | 0.24 | 0.04 | 1.9x | 39 | 57% |
| SMA 크로스오버 fast=52, slow=181 |
2.2% | -61.3% | 0.21 | 0.04 | 1.7x | 37 | 58% |
| EMA 크로스오버 fast=43, slow=92 |
1.9% | -67.2% | 0.19 | 0.03 | 1.6x | 53 | 60% |
| ADX / DI 방향성 period=50, threshold=18 |
0.7% | -21.2% | 0.16 | 0.03 | 1.2x | 20 | 7% |
| Supertrend period=25, mult=2.9 |
0.3% | -60.3% | 0.10 | 0.00 | 1.1x | 159 | 61% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
0.3% | -31.2% | 0.08 | 0.01 | 1.1x | 10 | 5% |
| ROC 모멘텀 n=69, threshold=-0.06 |
-0.7% | -80.0% | 0.05 | -0.01 | 0.8x | 203 | 77% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=9, mult=2.9 |
0.0% | -9.4% | 0.03 | 0.00 | 1.0x | 6 | 1% |
| MACD fast=16, slow=52, signal=14 |
-2.9% | -66.7% | -0.11 | -0.04 | 0.5x | 307 | 53% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.1% | -77.3% | -0.19 | -0.05 | 0.4x | 219 | 56% |
| Buy and hold | 4.3% | -59.1% | 0.29 | 0.07 | 2.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 83 days
- Sell — Sell when price breaks below the lowest low of the last 67 days