Trend-Following Backtester · Guide · backtest 한국어
equity · AR
Cia de Transporte de Energia Electrica Class B backtest
10 trend-following strategies were compared on the full daily history of Cia de Transporte de Energia Electrica Class B. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 33.8%, MDD -40.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 38.5%, drawdown -88.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 33.8%, MDD -40.9%, Sharpe 1.06, 32% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 34.6%, MDD -79.6%, exposure 63%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.7%p lower than buy and hold, while drawdown improves by 48.1%p (CAGR 33.8%, MDD -40.9%, exposure 32%).
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=102, exitN=16 |
33.8% | -40.9% | 1.06 | 0.83 | 1966.9x | 70 | 32% |
| ROC 모멘텀 n=118, threshold=0 |
34.6% | -79.6% | 0.91 | 0.43 | 2323.1x | 198 | 63% |
| SMA 크로스오버 fast=16, slow=32 |
32.4% | -58.8% | 0.90 | 0.55 | 1517.5x | 208 | 55% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
28.2% | -50.7% | 0.89 | 0.56 | 644.5x | 82 | 35% |
| EMA 크로스오버 fast=12, slow=159 |
32.2% | -87.1% | 0.86 | 0.37 | 1452.7x | 70 | 65% |
| ADX / DI 방향성 period=38, threshold=12 |
24.6% | -69.8% | 0.82 | 0.35 | 307.8x | 161 | 38% |
| Supertrend period=28, mult=5 |
27.5% | -77.9% | 0.81 | 0.35 | 561.3x | 98 | 54% |
| Parabolic SAR step=0.02, maxStep=0.32 |
27.2% | -76.7% | 0.81 | 0.35 | 530.0x | 519 | 51% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=29, mult=2.4 |
18.4% | -65.4% | 0.77 | 0.28 | 81.1x | 132 | 20% |
| MACD fast=17, slow=22, signal=8 |
22.8% | -82.0% | 0.73 | 0.28 | 211.4x | 463 | 51% |
| Buy and hold | 38.5% | -88.9% | 0.85 | 0.43 | 4845.0x | 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 102 days
- Sell — Sell when price breaks below the lowest low of the last 16 days