Trend-Following Backtester · Guide · backtest 한국어
equity · CO
GRUPO ENERGIA BOGOTA S.A. E.S.P backtest
10 trend-following strategies were compared on the full daily history of GRUPO ENERGIA BOGOTA S.A. E.S.P. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.0%, MDD -20.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.2%, drawdown -54.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.3%, MDD -35.0%, Sharpe 0.44, 84% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 6.0%, MDD -20.0%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=150, threshold=-0.11 |
7.3% | -35.0% | 0.44 | 0.21 | 3.3x | 23 | 84% |
| Donchian 채널 돌파 entryN=46, exitN=46 |
6.0% | -20.0% | 0.43 | 0.30 | 2.7x | 40 | 61% |
| SMA 크로스오버 fast=34, slow=85 |
4.5% | -32.2% | 0.33 | 0.14 | 2.1x | 56 | 55% |
| EMA 크로스오버 fast=68, slow=97 |
4.3% | -32.4% | 0.32 | 0.13 | 2.0x | 24 | 70% |
| ADX / DI 방향성 period=33, threshold=38 |
0.8% | -8.2% | 0.29 | 0.10 | 1.1x | 2 | 3% |
| Supertrend period=13, mult=5 |
1.4% | -40.4% | 0.17 | 0.04 | 1.3x | 57 | 52% |
| 볼린저 밴드 돌파 n=23, k=3.5 |
0.9% | -19.9% | 0.16 | 0.05 | 1.2x | 22 | 6% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=9, mult=4 |
0.5% | -22.2% | 0.12 | 0.02 | 1.1x | 8 | 2% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-5.1% | -73.7% | -0.21 | -0.07 | 0.4x | 226 | 53% |
| MACD fast=10, slow=38, signal=17 |
-13.7% | -92.8% | -0.77 | -0.15 | 0.1x | 298 | 49% |
| Buy and hold | 7.2% | -54.4% | 0.40 | 0.13 | 3.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 150-day return is greater than -11%
- Sell — Sell when the 150-day return drops to -11% or below