Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Naturgy Energy Group, S.A. backtest
10 trend-following strategies were compared on the full daily history of Naturgy Energy Group, S.A.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.2%, MDD -31.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.6%, drawdown -77.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.7%, MDD -40.6%, Sharpe 0.25, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 2.2%, MDD -31.6%, exposure 36%).
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=231 |
2.7% | -40.6% | 0.25 | 0.07 | 2.1x | 39 | 54% |
| Donchian 채널 돌파 entryN=94, exitN=33 |
2.2% | -31.6% | 0.23 | 0.07 | 1.8x | 53 | 36% |
| EMA 크로스오버 fast=49, slow=126 |
1.3% | -44.2% | 0.16 | 0.03 | 1.4x | 51 | 54% |
| ADX / DI 방향성 period=22, threshold=36 |
0.4% | -15.5% | 0.12 | 0.02 | 1.1x | 22 | 4% |
| Supertrend period=11, mult=3.1 |
0.1% | -56.4% | 0.09 | 0.00 | 1.0x | 151 | 56% |
| 볼린저 밴드 돌파 n=57, k=2.3 |
0.2% | -40.8% | 0.07 | 0.00 | 1.0x | 78 | 28% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=18, mult=3.1 |
-0.1% | -48.1% | 0.04 | -0.00 | 1.0x | 73 | 22% |
| ROC 모멘텀 n=112, threshold=-0.04 |
-1.5% | -56.4% | 0.01 | -0.03 | 0.7x | 283 | 67% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.7% | -61.6% | -0.07 | -0.04 | 0.5x | 231 | 53% |
| MACD fast=19, slow=49, signal=17 |
-3.0% | -63.4% | -0.10 | -0.05 | 0.4x | 313 | 52% |
| Buy and hold | 1.6% | -77.9% | 0.19 | 0.02 | 1.5x | 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 231-day average
- Sell — Sell (to cash) when the 37-day average falls below the 231-day average