Trend-Following Backtester · Guide · backtest 한국어
equity · PT
Mota-Engil SGPS SA backtest
10 trend-following strategies were compared on the full daily history of Mota-Engil SGPS SA. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.2%, MDD -39.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.2%, drawdown -88.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.0%, MDD -57.5%, Sharpe 0.73, 40% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 11.2%, MDD -39.7%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=121, threshold=0.09 |
16.0% | -57.5% | 0.73 | 0.28 | 45.1x | 112 | 40% |
| SMA 크로스오버 fast=4, slow=152 |
15.9% | -52.4% | 0.70 | 0.30 | 44.1x | 85 | 51% |
| Donchian 채널 돌파 entryN=117, exitN=80 |
14.8% | -53.3% | 0.69 | 0.28 | 34.1x | 22 | 45% |
| EMA 크로스오버 fast=52, slow=54 |
14.7% | -58.9% | 0.65 | 0.25 | 33.3x | 50 | 52% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=2.9 |
12.4% | -40.6% | 0.65 | 0.31 | 20.1x | 74 | 31% |
| 볼린저 밴드 돌파 n=32, k=2.5 |
11.2% | -39.7% | 0.63 | 0.28 | 15.0x | 103 | 24% |
| Supertrend period=19, mult=4 |
13.5% | -67.4% | 0.62 | 0.20 | 25.5x | 99 | 52% |
| Parabolic SAR step=0.015, maxStep=0.38 |
11.3% | -61.9% | 0.53 | 0.18 | 15.7x | 383 | 51% |
| ADX / DI 방향성 period=38, threshold=14 |
9.0% | -54.3% | 0.50 | 0.17 | 9.0x | 164 | 36% |
| MACD fast=11, slow=32, signal=19 |
6.3% | -60.5% | 0.35 | 0.10 | 4.8x | 351 | 52% |
| Buy and hold | 4.2% | -88.1% | 0.29 | 0.05 | 2.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 121-day return is greater than 9%
- Sell — Sell when the 121-day return drops to 9% or below