Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Grenergy Renovables S.A backtest
10 trend-following strategies were compared on the full daily history of Grenergy Renovables S.A. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 37.1%, MDD -46.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 39.9%, drawdown -58.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 37.7%, MDD -55.1%, Sharpe 1.03, 57% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 38.0%, MDD -52.0%, exposure 58%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 3.2%p (CAGR 37.1%, MDD -46.6%, exposure 60%).
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=8, slow=48 |
37.7% | -55.1% | 1.03 | 0.69 | 35.4x | 64 | 57% |
| Donchian 채널 돌파 entryN=50, exitN=36 |
38.0% | -52.0% | 1.03 | 0.73 | 36.2x | 28 | 58% |
| ROC 모멘텀 n=65, threshold=-0.01 |
37.1% | -46.6% | 1.01 | 0.80 | 33.6x | 102 | 60% |
| EMA 크로스오버 fast=10, slow=39 |
36.4% | -55.0% | 1.00 | 0.66 | 31.9x | 64 | 59% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=1.1 |
34.9% | -51.5% | 0.98 | 0.68 | 28.2x | 74 | 54% |
| Supertrend period=18, mult=4.7 |
33.6% | -45.8% | 0.98 | 0.73 | 25.3x | 58 | 61% |
| 볼린저 밴드 돌파 n=56, k=1.1 |
33.2% | -46.8% | 0.97 | 0.71 | 24.4x | 58 | 50% |
| ADX / DI 방향성 period=16, threshold=11 |
32.7% | -44.8% | 0.95 | 0.73 | 23.4x | 188 | 51% |
| MACD fast=17, slow=56, signal=19 |
30.6% | -47.2% | 0.94 | 0.65 | 19.6x | 97 | 44% |
| Parabolic SAR step=0.03, maxStep=0.28 |
21.6% | -65.7% | 0.73 | 0.33 | 8.9x | 272 | 49% |
| Buy and hold | 39.9% | -58.3% | 0.94 | 0.68 | 42.3x | 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 8-day average price crosses above the 48-day average
- Sell — Sell (to cash) when the 8-day average falls below the 48-day average