Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Redeia Corporacion SA backtest
10 trend-following strategies were compared on the full daily history of Redeia Corporacion SA. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.1%, drawdown -40.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.0%, MDD -56.3%, Sharpe 0.32, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.6%, MDD -60.3%, exposure 81%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=27, slow=163 |
4.0% | -56.3% | 0.32 | 0.07 | 2.8x | 49 | 61% |
| Donchian 채널 돌파 entryN=13, exitN=52 |
4.6% | -60.3% | 0.32 | 0.08 | 3.3x | 97 | 81% |
| Supertrend period=25, mult=4.9 |
4.3% | -53.4% | 0.32 | 0.08 | 3.1x | 74 | 59% |
| ADX / DI 방향성 period=38, threshold=21 |
2.0% | -25.4% | 0.29 | 0.08 | 1.7x | 32 | 12% |
| 볼린저 밴드 돌파 n=37, k=3.3 |
2.4% | -24.2% | 0.28 | 0.10 | 1.9x | 20 | 5% |
| SMA 크로스오버 fast=10, slow=153 |
3.0% | -56.4% | 0.27 | 0.05 | 2.2x | 89 | 59% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=12, mult=3.3 |
1.2% | -20.8% | 0.17 | 0.06 | 1.4x | 8 | 1% |
| ROC 모멘텀 n=141, threshold=0 |
0.8% | -61.6% | 0.12 | 0.01 | 1.2x | 233 | 60% |
| MACD fast=22, slow=26, signal=11 |
0.5% | -66.2% | 0.11 | 0.01 | 1.1x | 382 | 51% |
| Parabolic SAR step=0.005, maxStep=0.1 |
0.3% | -64.9% | 0.10 | 0.00 | 1.1x | 241 | 54% |
| Buy and hold | 9.1% | -40.6% | 0.48 | 0.23 | 10.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 27-day EMA crosses above the 163-day EMA
- Sell — Sell when the 27-day EMA falls below the 163-day EMA