Trend-Following Backtester · Guide · backtest 한국어

equity · CL

Enel Americas S.A. backtest

10 trend-following strategies were compared on the full daily history of Enel Americas S.A.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.7%, MDD -13.7%).

Data 2000-01-03 ~ 2026-07-31daily bars 6,716 (26.6 years)Costs 0.5%Venue BCSMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR -2.1%, drawdown -79.3%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -13.7%, Sharpe 0.21, 1% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 65.6%p (CAGR 0.7%, MDD -13.7%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=13, k=3.1
0.7%-13.7%0.210.051.2x61%
SMA 크로스오버
fast=77, slow=219
0.5%-68.1%0.120.011.1x3050%
Donchian 채널 돌파
entryN=147, exitN=32
0.5%-32.8%0.100.011.1x3619%
Keltner 채널 돌파
emaPeriod=46, atrPeriod=20, mult=3.6
0.3%-37.8%0.080.011.1x4615%
EMA 크로스오버
fast=58, slow=201
-0.4%-65.8%0.06-0.010.9x3247%
ADX / DI 방향성
period=29, threshold=31
-0.2%-19.6%-0.03-0.011.0x102%
Supertrend
period=15, mult=3.3
-4.2%-76.2%-0.19-0.060.3x14748%
Parabolic SAR
step=0.01, maxStep=0.12
-4.6%-82.5%-0.19-0.060.3x34549%
ROC 모멘텀
n=85, threshold=-0.05
-5.4%-88.1%-0.21-0.060.2x28766%
MACD
fast=14, slow=40, signal=19
-6.5%-85.6%-0.30-0.080.2x33151%
Buy and hold-2.1%-79.3%0.05-0.030.6x1100%
1x 2001 2005 2009 2013 2017 2021 2025 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -40% -59% -79% 2001 2005 2009 2013 2017 2021 2025 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -13.7% (2003-05-26 → 2003-05-28), recovered after 1,218 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

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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