Trend-Following Backtester · Guide · backtest 한국어
equity · BR
ENGIE Brasil Energia S.A. backtest
10 trend-following strategies were compared on the full daily history of ENGIE Brasil Energia S.A.. 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 11.1%, drawdown -53.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -49.1%, Sharpe 0.38, 94% 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=4, exitN=101 |
7.2% | -49.1% | 0.38 | 0.15 | 5.5x | 54 | 94% |
| SMA 크로스오버 fast=29, slow=58 |
3.9% | -54.1% | 0.28 | 0.07 | 2.6x | 118 | 56% |
| EMA 크로스오버 fast=27, slow=260 |
3.9% | -55.8% | 0.28 | 0.07 | 2.6x | 48 | 67% |
| Supertrend period=29, mult=4 |
0.9% | -54.3% | 0.15 | 0.02 | 1.2x | 86 | 55% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=12, mult=2.4 |
0.8% | -45.6% | 0.12 | 0.02 | 1.2x | 54 | 7% |
| ROC 모멘텀 n=124, threshold=-0.08 |
-0.8% | -82.0% | 0.12 | -0.01 | 0.8x | 226 | 83% |
| 볼린저 밴드 돌파 n=59, k=3 |
0.5% | -65.6% | 0.11 | 0.01 | 1.1x | 40 | 14% |
| MACD fast=15, slow=37, signal=31 |
-0.2% | -80.1% | 0.11 | -0.00 | 1.0x | 260 | 49% |
| ADX / DI 방향성 period=14, threshold=38 |
0.4% | -47.9% | 0.09 | 0.01 | 1.1x | 42 | 5% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-0.9% | -78.3% | 0.08 | -0.01 | 0.8x | 416 | 51% |
| Buy and hold | 11.1% | -53.5% | 0.48 | 0.21 | 13.0x | 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 4 days
- Sell — Sell when price breaks below the lowest low of the last 101 days