Trend-Following Backtester · Guide · backtest 한국어
equity · FR
ENGIE S.A. backtest
10 trend-following strategies were compared on the full daily history of ENGIE S.A.. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -11.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.6%, drawdown -80.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -11.0%, Sharpe 0.21, 1% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 0.6%, MDD -56.3%, exposure 23%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 69.6%p (CAGR 0.5%, MDD -11.0%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=41, threshold=28 |
0.5% | -11.0% | 0.21 | 0.05 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=62, k=2.3 |
0.6% | -56.3% | 0.11 | 0.01 | 1.2x | 58 | 23% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=19, mult=3.2 |
0.4% | -20.9% | 0.11 | 0.02 | 1.1x | 26 | 5% |
| SMA 크로스오버 fast=55, slow=216 |
-0.3% | -74.5% | 0.07 | -0.00 | 0.9x | 37 | 52% |
| EMA 크로스오버 fast=59, slow=197 |
-0.5% | -79.5% | 0.06 | -0.01 | 0.9x | 39 | 54% |
| Supertrend period=11, mult=4.8 |
-1.5% | -77.1% | 0.00 | -0.02 | 0.7x | 82 | 50% |
| Donchian 채널 돌파 entryN=68, exitN=28 |
-1.0% | -68.4% | -0.00 | -0.02 | 0.8x | 72 | 35% |
| ROC 모멘텀 n=114, threshold=-0.03 |
-3.5% | -84.1% | -0.10 | -0.04 | 0.4x | 255 | 62% |
| MACD fast=17, slow=40, signal=10 |
-5.3% | -87.0% | -0.17 | -0.06 | 0.2x | 382 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-5.7% | -90.4% | -0.22 | -0.06 | 0.2x | 234 | 50% |
| Buy and hold | -0.6% | -80.6% | 0.13 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 41-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)