Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Endesa S.A. backtest
10 trend-following strategies were compared on the full daily history of Endesa S.A.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 2.5%, MDD -47.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.0%, drawdown -71.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.2%, MDD -67.5%, Sharpe 0.38, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 3.9%p (CAGR 2.5%, MDD -47.6%, exposure 57%).
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=12, slow=210 |
5.2% | -67.5% | 0.38 | 0.08 | 3.8x | 39 | 54% |
| 볼린저 밴드 돌파 n=41, k=3.3 |
1.9% | -11.2% | 0.38 | 0.17 | 1.6x | 18 | 7% |
| Donchian 채널 돌파 entryN=114, exitN=79 |
4.0% | -71.8% | 0.33 | 0.06 | 2.8x | 29 | 47% |
| EMA 크로스오버 fast=37, slow=135 |
4.1% | -72.1% | 0.32 | 0.06 | 2.9x | 45 | 56% |
| ADX / DI 방향성 period=38, threshold=29 |
0.8% | -9.7% | 0.29 | 0.09 | 1.3x | 6 | 4% |
| ROC 모멘텀 n=136, threshold=0.01 |
3.1% | -68.3% | 0.27 | 0.05 | 2.2x | 149 | 54% |
| Supertrend period=26, mult=4.8 |
2.5% | -47.6% | 0.23 | 0.05 | 1.9x | 87 | 57% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=15, mult=3.1 |
1.6% | -48.5% | 0.20 | 0.03 | 1.5x | 77 | 24% |
| MACD fast=19, slow=57, signal=16 |
-2.7% | -71.8% | -0.07 | -0.04 | 0.5x | 301 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.0% | -88.1% | -0.20 | -0.06 | 0.3x | 251 | 55% |
| Buy and hold | 3.0% | -71.4% | 0.25 | 0.04 | 2.2x | 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 12-day average price crosses above the 210-day average
- Sell — Sell (to cash) when the 12-day average falls below the 210-day average