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Trend-Following Backtester · Guide · backtest 한국어

equity · BR

Eneva S.A. backtest

10 trend-following strategies were compared on the full daily history of Eneva S.A.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -19.8%).

Data 2007-12-14 ~ 2026-07-31daily bars 4,625 (18.6 years)Costs 0.5%Venue BMFBOVESPAMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -10.0%, drawdown -98.9%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.5%, MDD -32.0%, Sharpe 0.70, 24% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 12.4%, MDD -47.0%, exposure 48%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 67.0%p (CAGR 2.0%, MDD -19.8%, exposure 7%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=54, atrPeriod=10, mult=3.3
10.5%-32.0%0.700.336.4x3424%
Donchian 채널 돌파
entryN=115, exitN=73
12.1%-43.9%0.670.278.3x1733%
EMA 크로스오버
fast=43, slow=218
12.4%-47.0%0.610.268.9x2148%
볼린저 밴드 돌파
n=43, k=2.5
10.2%-48.8%0.580.216.1x5427%
SMA 크로스오버
fast=22, slow=126
11.9%-68.1%0.560.178.1x3751%
ROC 모멘텀
n=105, threshold=0.14
8.2%-64.6%0.470.134.3x11733%
Supertrend
period=17, mult=5
7.9%-80.5%0.410.104.2x3954%
ADX / DI 방향성
period=25, threshold=30
2.0%-19.8%0.260.101.4x267%
MACD
fast=17, slow=56, signal=19
-1.5%-96.1%0.14-0.020.7x17252%
Parabolic SAR
step=0.025, maxStep=0.1
-1.3%-80.9%0.10-0.020.8x36252%
Buy and hold-10.0%-98.9%0.04-0.100.1x1100%
0.1 1x 2008 2011 2014 2017 2020 2023 2026 EMA 크로스오버Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -25% -49% -74% -99% 2008 2011 2014 2017 2020 2023 2026 Buy and holdEMA 크로스오버Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -32.0% (2012-03-14 → 2018-12-10), recovered after 2,746 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore BR assetsAll asset reports

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