Trend-Following Backtester · Guide · backtest 한국어
equity · PT
EDP Renewables SA backtest
10 trend-following strategies were compared on the full daily history of EDP Renewables SA. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.1%, MDD -31.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.4%, drawdown -73.3%).
Sharpe leader (same as main): Supertrend — CAGR 8.1%, MDD -31.4%, Sharpe 0.48, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 8.1%, MDD -31.4%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=4.9 |
8.1% | -31.4% | 0.48 | 0.26 | 4.2x | 43 | 56% |
| SMA 크로스오버 fast=29, slow=92 |
8.1% | -51.7% | 0.47 | 0.16 | 4.1x | 46 | 57% |
| EMA 크로스오버 fast=72, slow=213 |
6.9% | -40.8% | 0.42 | 0.17 | 3.4x | 13 | 60% |
| Donchian 채널 돌파 entryN=48, exitN=57 |
6.1% | -51.0% | 0.38 | 0.12 | 2.9x | 35 | 60% |
| 볼린저 밴드 돌파 n=30, k=3.3 |
2.2% | -19.9% | 0.31 | 0.11 | 1.5x | 20 | 7% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=19, mult=4 |
2.1% | -16.6% | 0.28 | 0.13 | 1.5x | 22 | 10% |
| ROC 모멘텀 n=121, threshold=0.06 |
1.8% | -52.2% | 0.19 | 0.03 | 1.4x | 157 | 45% |
| Parabolic SAR step=0.005, maxStep=0.14 |
1.5% | -68.7% | 0.18 | 0.02 | 1.3x | 156 | 53% |
| ADX / DI 방향성 period=45, threshold=25 |
0.5% | -26.5% | 0.12 | 0.02 | 1.1x | 2 | 1% |
| MACD fast=18, slow=60, signal=32 |
-2.0% | -66.1% | 0.01 | -0.03 | 0.7x | 156 | 51% |
| Buy and hold | 3.4% | -73.3% | 0.26 | 0.05 | 1.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)