Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Enea SA backtest
10 trend-following strategies were compared on the full daily history of Enea SA. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.5%, MDD -24.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.2%, drawdown -84.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.5%, MDD -24.1%, Sharpe 0.38, 9% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 4.9%, MDD -46.2%, exposure 41%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 60.7%p (CAGR 3.5%, MDD -24.1%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=26, k=3.4 |
3.5% | -24.1% | 0.38 | 0.15 | 1.8x | 24 | 9% |
| EMA 크로스오버 fast=70, slow=353 |
4.9% | -46.2% | 0.33 | 0.11 | 2.3x | 9 | 41% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=21, mult=3.7 |
2.4% | -15.8% | 0.32 | 0.15 | 1.5x | 20 | 7% |
| Donchian 채널 돌파 entryN=29, exitN=73 |
2.7% | -78.8% | 0.23 | 0.03 | 1.6x | 40 | 66% |
| Supertrend period=9, mult=2.6 |
2.0% | -76.3% | 0.20 | 0.03 | 1.4x | 140 | 52% |
| ADX / DI 방향성 period=39, threshold=30 |
0.7% | -12.8% | 0.18 | 0.06 | 1.1x | 4 | 2% |
| Parabolic SAR step=0.005, maxStep=0.16 |
0.9% | -70.8% | 0.16 | 0.01 | 1.2x | 130 | 50% |
| SMA 크로스오버 fast=53, slow=108 |
0.4% | -70.4% | 0.14 | 0.01 | 1.1x | 40 | 51% |
| MACD fast=14, slow=49, signal=14 |
-1.5% | -81.7% | 0.06 | -0.02 | 0.8x | 225 | 47% |
| ROC 모멘텀 n=62, threshold=0 |
-4.1% | -80.4% | -0.05 | -0.05 | 0.5x | 230 | 50% |
| Buy and hold | 3.2% | -84.7% | 0.26 | 0.04 | 1.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 26-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 26-day middle average