Trend-Following Backtester · Guide · backtest 한국어
equity · PT
Redes Energeticas Nacionais SA backtest
10 trend-following strategies were compared on the full daily history of Redes Energeticas Nacionais 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 1.1%, MDD -7.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.2%, drawdown -54.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.1%, MDD -7.0%, Sharpe 0.39, 3% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 47.8%p (CAGR 1.1%, MDD -7.0%, exposure 3%).
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=23, k=3.5 |
1.1% | -7.0% | 0.39 | 0.16 | 1.2x | 10 | 3% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=17, mult=3.3 |
0.9% | -11.6% | 0.19 | 0.07 | 1.2x | 24 | 7% |
| ADX / DI 방향성 period=17, threshold=52 |
0.2% | -3.4% | 0.11 | 0.05 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=59, slow=202 |
-2.2% | -54.3% | -0.11 | -0.04 | 0.7x | 35 | 43% |
| Donchian 채널 돌파 entryN=90, exitN=21 |
-1.7% | -50.2% | -0.15 | -0.03 | 0.7x | 52 | 21% |
| Supertrend period=28, mult=3.3 |
-3.1% | -66.1% | -0.16 | -0.05 | 0.5x | 112 | 55% |
| EMA 크로스오버 fast=65, slow=201 |
-3.2% | -64.7% | -0.20 | -0.05 | 0.5x | 31 | 43% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.4% | -62.3% | -0.20 | -0.05 | 0.5x | 152 | 50% |
| ROC 모멘텀 n=34, threshold=0.13 |
-0.8% | -21.3% | -0.20 | -0.04 | 0.9x | 60 | 3% |
| MACD fast=16, slow=57, signal=18 |
-3.9% | -67.3% | -0.25 | -0.06 | 0.5x | 218 | 51% |
| Buy and hold | 0.2% | -54.8% | 0.11 | 0.00 | 1.0x | 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 23-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 23-day middle average