Trend-Following Backtester · Guide · backtest 한국어

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Eneva S.A. backtest

10 trend-following strategies were compared on the full daily history of Eneva S.A.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -19.8%).

Data 2007-12-14 ~ 2026-07-31daily bars 4,625 (18.6 years)Costs 0.5%Venue BMFBOVESPAMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -10.0%, drawdown -98.9%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.5%, MDD -32.0%, Sharpe 0.70, 24% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 12.4%, MDD -47.0%, exposure 48%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 67.0%p (CAGR 2.0%, MDD -19.8%, exposure 7%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=54, atrPeriod=10, mult=3.3
10.5%-32.0%0.700.336.4x3424%
Donchian 채널 돌파
entryN=115, exitN=73
12.1%-43.9%0.670.278.3x1733%
EMA 크로스오버
fast=43, slow=218
12.4%-47.0%0.610.268.9x2148%
볼린저 밴드 돌파
n=43, k=2.5
10.2%-48.8%0.580.216.1x5427%
SMA 크로스오버
fast=22, slow=126
11.9%-68.1%0.560.178.1x3751%
ROC 모멘텀
n=105, threshold=0.14
8.2%-64.6%0.470.134.3x11733%
Supertrend
period=17, mult=5
7.9%-80.5%0.410.104.2x3954%
ADX / DI 방향성
period=25, threshold=30
2.0%-19.8%0.260.101.4x267%
MACD
fast=17, slow=56, signal=19
-1.5%-96.1%0.14-0.020.7x17252%
Parabolic SAR
step=0.025, maxStep=0.1
-1.3%-80.9%0.10-0.020.8x36252%
Buy and hold-10.0%-98.9%0.04-0.100.1x1100%
0.1 1x 2008 2011 2014 2017 2020 2023 2026 EMA 크로스오버Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -25% -49% -74% -99% 2008 2011 2014 2017 2020 2023 2026 Buy and holdEMA 크로스오버Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -32.0% (2012-03-14 → 2018-12-10), recovered after 2,746 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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