Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Viva Energy Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Viva Energy Group Ltd.. 9 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 1.9%, MDD -2.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.5%, drawdown -62.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.9%, MDD -2.8%, Sharpe 0.67, 2% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.6%, MDD -34.5%, exposure 43%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 59.7%p (CAGR 1.9%, MDD -2.8%, exposure 2%).
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=13, k=3.2 |
1.9% | -2.8% | 0.67 | 0.69 | 1.2x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=3.5 |
1.6% | -2.8% | 0.63 | 0.56 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=58, slow=306 |
6.6% | -34.5% | 0.43 | 0.19 | 1.7x | 3 | 43% |
| MACD fast=19, slow=50, signal=8 |
5.6% | -48.4% | 0.34 | 0.12 | 1.6x | 101 | 49% |
| Supertrend period=10, mult=2.3 |
3.4% | -40.2% | 0.26 | 0.08 | 1.3x | 77 | 46% |
| ROC 모멘텀 n=129, threshold=0 |
2.2% | -35.1% | 0.21 | 0.06 | 1.2x | 75 | 51% |
| SMA 크로스오버 fast=36, slow=51 |
1.2% | -37.7% | 0.16 | 0.03 | 1.1x | 43 | 45% |
| Parabolic SAR step=0.02, maxStep=0.14 |
0.2% | -42.5% | 0.13 | 0.01 | 1.0x | 157 | 49% |
| ADX / DI 방향성 period=13, threshold=22 |
0.5% | -43.0% | 0.12 | 0.01 | 1.0x | 81 | 27% |
| Donchian 채널 돌파 entryN=94, exitN=69 |
-1.5% | -41.9% | -0.00 | -0.03 | 0.9x | 11 | 35% |
| Buy and hold | -0.5% | -62.6% | 0.17 | -0.01 | 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 13-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 13-day middle average