Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Advantage Energy Ltd backtest
10 trend-following strategies were compared on the full daily history of Advantage Energy Ltd. 5 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 7.1%, MDD -34.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.6%, drawdown -89.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.1%, MDD -34.8%, Sharpe 0.42, 24% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 55.0%p (CAGR 7.1%, MDD -34.8%, exposure 24%).
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=82, k=2.6 |
7.1% | -34.8% | 0.42 | 0.21 | 3.2x | 28 | 24% |
| Donchian 채널 돌파 entryN=62, exitN=18 |
4.6% | -47.6% | 0.32 | 0.10 | 2.1x | 51 | 27% |
| SMA 크로스오버 fast=28, slow=179 |
4.2% | -73.8% | 0.29 | 0.06 | 2.0x | 30 | 51% |
| ROC 모멘텀 n=84, threshold=0.06 |
3.8% | -53.6% | 0.27 | 0.07 | 1.9x | 176 | 40% |
| EMA 크로스오버 fast=43, slow=114 |
3.6% | -74.1% | 0.27 | 0.05 | 1.8x | 38 | 51% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=11, mult=4 |
1.6% | -20.8% | 0.23 | 0.08 | 1.3x | 10 | 4% |
| ADX / DI 방향성 period=60, threshold=21 |
1.7% | -25.8% | 0.22 | 0.07 | 1.3x | 6 | 5% |
| Supertrend period=26, mult=1.8 |
1.2% | -77.3% | 0.19 | 0.02 | 1.2x | 237 | 50% |
| Parabolic SAR step=0.02, maxStep=0.06 |
-1.5% | -77.0% | 0.10 | -0.02 | 0.8x | 257 | 51% |
| MACD fast=15, slow=18, signal=14 |
-7.0% | -88.7% | -0.09 | -0.08 | 0.3x | 300 | 51% |
| Buy and hold | 2.6% | -89.9% | 0.28 | 0.03 | 1.5x | 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 82-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 82-day middle average