Trend-Following Backtester · Guide · backtest 한국어
equity · PT
EDP S.A. backtest
10 trend-following strategies were compared on the full daily history of EDP S.A.. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -18.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.2%, drawdown -66.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -18.1%, Sharpe 0.25, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.4%, MDD -57.0%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 48.7%p (CAGR 1.0%, MDD -18.1%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=34 |
1.0% | -18.1% | 0.25 | 0.06 | 1.3x | 6 | 4% |
| SMA 크로스오버 fast=44, slow=142 |
2.4% | -57.0% | 0.23 | 0.04 | 1.9x | 51 | 52% |
| Donchian 채널 돌파 entryN=81, exitN=67 |
2.1% | -67.5% | 0.21 | 0.03 | 1.7x | 35 | 49% |
| EMA 크로스오버 fast=47, slow=143 |
2.1% | -54.8% | 0.21 | 0.04 | 1.7x | 39 | 50% |
| Supertrend period=10, mult=4.8 |
1.1% | -52.1% | 0.15 | 0.02 | 1.3x | 83 | 50% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=3.9 |
0.5% | -29.3% | 0.11 | 0.02 | 1.2x | 44 | 13% |
| 볼린저 밴드 돌파 n=24, k=3.4 |
0.1% | -6.3% | 0.06 | 0.02 | 1.0x | 10 | 2% |
| ROC 모멘텀 n=127, threshold=-0.02 |
-3.1% | -84.1% | -0.10 | -0.04 | 0.4x | 227 | 56% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.6% | -81.9% | -0.19 | -0.06 | 0.3x | 217 | 51% |
| MACD fast=17, slow=55, signal=18 |
-5.1% | -81.5% | -0.22 | -0.06 | 0.3x | 283 | 50% |
| Buy and hold | 1.2% | -66.7% | 0.17 | 0.02 | 1.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)