Trend-Following Backtester · Guide · backtest 한국어
equity · PT
Galp Energia, SGPS S.A. Class B backtest
10 trend-following strategies were compared on the full daily history of Galp Energia, SGPS S.A. Class B. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.0%, drawdown -68.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.2%, MDD -42.1%, Sharpe 0.39, 13% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.4%, MDD -56.8%, exposure 79%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=22, k=2.8 |
4.2% | -42.1% | 0.39 | 0.10 | 2.3x | 52 | 13% |
| Donchian 채널 돌파 entryN=32, exitN=99 |
6.4% | -56.8% | 0.36 | 0.11 | 3.4x | 37 | 79% |
| Supertrend period=20, mult=3.3 |
4.3% | -51.6% | 0.29 | 0.08 | 2.3x | 123 | 56% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=28, mult=4 |
2.4% | -37.5% | 0.27 | 0.06 | 1.6x | 28 | 10% |
| ADX / DI 방향성 period=38, threshold=31 |
0.8% | -15.8% | 0.23 | 0.05 | 1.2x | 4 | 1% |
| MACD fast=7, slow=59, signal=33 |
2.6% | -63.0% | 0.22 | 0.04 | 1.7x | 215 | 52% |
| EMA 크로스오버 fast=69, slow=79 |
1.2% | -72.1% | 0.17 | 0.02 | 1.3x | 43 | 59% |
| SMA 크로스오버 fast=58, slow=153 |
-0.0% | -72.2% | 0.12 | -0.00 | 1.0x | 39 | 57% |
| ROC 모멘텀 n=80, threshold=-0.02 |
-0.5% | -83.6% | 0.09 | -0.01 | 0.9x | 242 | 62% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-0.3% | -67.7% | 0.09 | -0.01 | 0.9x | 349 | 53% |
| Buy and hold | 6.0% | -68.2% | 0.34 | 0.09 | 3.2x | 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 22-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 22-day middle average