Trend-Following Backtester · Guide · backtest 한국어
equity · IT
Enel SpA backtest
10 trend-following strategies were compared on the full daily history of Enel SpA. 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 1.9%, MDD -35.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.6%, drawdown -72.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.4%, MDD -39.0%, Sharpe 0.22, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 33.4%p (CAGR 1.9%, MDD -35.5%, exposure 42%).
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=47, slow=99 |
2.4% | -39.0% | 0.22 | 0.06 | 1.9x | 61 | 53% |
| Donchian 채널 돌파 entryN=74, exitN=36 |
1.9% | -35.5% | 0.20 | 0.05 | 1.6x | 59 | 42% |
| ADX / DI 방향성 period=42, threshold=16 |
1.2% | -28.3% | 0.19 | 0.04 | 1.4x | 54 | 16% |
| 볼린저 밴드 돌파 n=77, k=2 |
1.1% | -31.5% | 0.15 | 0.03 | 1.3x | 68 | 31% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=12, mult=2.5 |
0.8% | -28.1% | 0.12 | 0.03 | 1.2x | 96 | 33% |
| Supertrend period=15, mult=4.8 |
0.3% | -51.8% | 0.10 | 0.01 | 1.1x | 81 | 50% |
| EMA 크로스오버 fast=55, slow=98 |
-0.0% | -59.9% | 0.08 | -0.00 | 1.0x | 51 | 55% |
| ROC 모멘텀 n=92, threshold=-0.02 |
-2.5% | -71.4% | -0.07 | -0.03 | 0.5x | 263 | 59% |
| MACD fast=17, slow=25, signal=18 |
-3.4% | -74.6% | -0.13 | -0.05 | 0.4x | 360 | 51% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.0% | -83.2% | -0.23 | -0.06 | 0.3x | 246 | 53% |
| Buy and hold | 1.6% | -72.4% | 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 47-day average price crosses above the 99-day average
- Sell — Sell (to cash) when the 47-day average falls below the 99-day average