Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Enel Generacion Chile S.A. backtest
10 trend-following strategies were compared on the full daily history of Enel Generacion Chile S.A.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.9%, MDD -63.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.0%, drawdown -87.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.7%, MDD -65.3%, Sharpe 0.46, 58% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 7.9%, MDD -63.6%, exposure 58%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR 7.9%, MDD -63.6%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=37, slow=132 |
7.7% | -65.3% | 0.46 | 0.12 | 7.2x | 45 | 58% |
| EMA 크로스오버 fast=54, slow=111 |
7.9% | -63.6% | 0.43 | 0.12 | 7.6x | 33 | 58% |
| Donchian 채널 돌파 entryN=89, exitN=74 |
5.6% | -80.6% | 0.33 | 0.07 | 4.3x | 31 | 58% |
| ROC 모멘텀 n=147, threshold=-0.01 |
2.6% | -90.9% | 0.23 | 0.03 | 2.0x | 151 | 59% |
| Supertrend period=2, mult=2.6 |
1.5% | -75.9% | 0.19 | 0.02 | 1.5x | 291 | 51% |
| ADX / DI 방향성 period=23, threshold=28 |
1.8% | -39.8% | 0.19 | 0.04 | 1.6x | 43 | 9% |
| Parabolic SAR step=0.02, maxStep=0.06 |
-1.5% | -83.7% | 0.08 | -0.02 | 0.7x | 365 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=3.4 |
-0.9% | -85.0% | 0.05 | -0.01 | 0.8x | 75 | 29% |
| MACD fast=10, slow=51, signal=18 |
-4.1% | -91.3% | -0.02 | -0.05 | 0.3x | 359 | 49% |
| 볼린저 밴드 돌파 n=13, k=2.2 |
-4.1% | -86.3% | -0.11 | -0.05 | 0.3x | 241 | 23% |
| Buy and hold | 5.0% | -87.1% | 0.31 | 0.06 | 3.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 37-day average price crosses above the 132-day average
- Sell — Sell (to cash) when the 37-day average falls below the 132-day average