Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Athabasca Oil Corporation backtest
10 trend-following strategies were compared on the full daily history of Athabasca Oil Corporation. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.5%, MDD -50.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.9%, drawdown -99.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.4%, MDD -52.3%, Sharpe 0.73, 43% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 21.8%, MDD -52.2%, exposure 48%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 23.3%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 10.5%, MDD -50.1%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=95, exitN=63 |
21.4% | -52.3% | 0.73 | 0.41 | 23.9x | 18 | 43% |
| SMA 크로스오버 fast=25, slow=193 |
21.8% | -52.2% | 0.72 | 0.42 | 25.3x | 25 | 48% |
| EMA 크로스오버 fast=35, slow=162 |
21.2% | -56.4% | 0.72 | 0.37 | 23.1x | 19 | 46% |
| ROC 모멘텀 n=118, threshold=0.12 |
17.7% | -74.5% | 0.66 | 0.24 | 14.5x | 119 | 40% |
| 볼린저 밴드 돌파 n=84, k=1.3 |
16.5% | -53.4% | 0.63 | 0.31 | 12.2x | 50 | 37% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=18, mult=4 |
10.5% | -50.1% | 0.50 | 0.21 | 5.1x | 30 | 21% |
| MACD fast=21, slow=56, signal=21 |
9.8% | -82.4% | 0.43 | 0.12 | 4.7x | 141 | 51% |
| ADX / DI 방향성 period=37, threshold=14 |
8.8% | -68.5% | 0.42 | 0.13 | 4.0x | 86 | 27% |
| Parabolic SAR step=0.045, maxStep=0.1 |
9.4% | -77.4% | 0.42 | 0.12 | 4.3x | 378 | 47% |
| Supertrend period=14, mult=4.1 |
8.1% | -85.3% | 0.39 | 0.09 | 3.6x | 70 | 51% |
| Buy and hold | -1.9% | -99.4% | 0.25 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 95 days
- Sell — Sell when price breaks below the lowest low of the last 63 days