Trend-Following Backtester · Guide · backtest 한국어
equity · CL
Empresa Nacional de Telecomunicaciones S.A. backtest
10 trend-following strategies were compared on the full daily history of Empresa Nacional de Telecomunicaciones S.A.. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.4%, MDD -19.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.6%, drawdown -75.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.4%, MDD -19.8%, Sharpe 0.25, 5% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.2%, MDD -46.8%, exposure 20%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 55.6%p (CAGR 1.4%, MDD -19.8%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=20, mult=4 |
1.4% | -19.8% | 0.25 | 0.07 | 1.5x | 26 | 5% |
| Donchian 채널 돌파 entryN=114, exitN=20 |
2.2% | -46.8% | 0.22 | 0.05 | 1.8x | 42 | 20% |
| ADX / DI 방향성 period=38, threshold=16 |
1.5% | -43.3% | 0.18 | 0.03 | 1.5x | 68 | 18% |
| SMA 크로스오버 fast=50, slow=87 |
1.0% | -59.4% | 0.15 | 0.02 | 1.3x | 77 | 44% |
| 볼린저 밴드 돌파 n=16, k=3.1 |
0.3% | -31.7% | 0.08 | 0.01 | 1.1x | 34 | 4% |
| Supertrend period=18, mult=3.7 |
-1.4% | -71.3% | 0.03 | -0.02 | 0.7x | 130 | 54% |
| EMA 크로스오버 fast=45, slow=66 |
-1.5% | -74.3% | -0.00 | -0.02 | 0.7x | 74 | 46% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-3.8% | -89.6% | -0.11 | -0.04 | 0.4x | 187 | 49% |
| ROC 모멘텀 n=86, threshold=0.05 |
-3.2% | -76.1% | -0.13 | -0.04 | 0.4x | 232 | 32% |
| MACD fast=17, slow=52, signal=17 |
-5.9% | -88.6% | -0.19 | -0.07 | 0.2x | 289 | 52% |
| Buy and hold | 0.6% | -75.4% | 0.16 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 20-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average