Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Birchcliff Energy Ltd. backtest
10 trend-following strategies were compared on the full daily history of Birchcliff Energy Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 4.7%, drawdown -99.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -97.8%, Sharpe 0.33, 45% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 9.2%, MDD -85.3%, exposure 40%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=23, slow=202 |
8.1% | -97.8% | 0.33 | 0.08 | 10.4x | 44 | 45% |
| EMA 크로스오버 fast=50, slow=201 |
9.2% | -85.3% | 0.25 | 0.11 | 14.0x | 28 | 40% |
| Supertrend period=15, mult=4.4 |
-24.1% | -100.0% | 0.24 | -0.24 | 0.0x | 139 | 51% |
| Parabolic SAR step=0.06, maxStep=0.18 |
-32.3% | -100.0% | 0.20 | -0.32 | 0.0x | 842 | 45% |
| ROC 모멘텀 n=4, threshold=-0.04 |
-53.5% | -100.0% | 0.19 | -0.53 | 0.0x | 1073 | 81% |
| ADX / DI 방향성 period=30, threshold=19 |
2.7% | -95.9% | 0.19 | 0.03 | 2.2x | 108 | 18% |
| Donchian 채널 돌파 entryN=56, exitN=79 |
-28.5% | -100.0% | 0.17 | -0.28 | 0.0x | 70 | 62% |
| 볼린저 밴드 돌파 n=62, k=3.5 |
2.1% | -86.5% | 0.16 | 0.02 | 1.8x | 20 | 7% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=3.4 |
-7.6% | -99.6% | 0.13 | -0.08 | 0.1x | 92 | 23% |
| MACD fast=24, slow=47, signal=21 |
-43.8% | -100.0% | 0.11 | -0.44 | 0.0x | 279 | 55% |
| Buy and hold | 4.7% | -99.5% | 0.44 | 0.05 | 4.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 23-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 23-day average falls below the 202-day average