Trend-Following Backtester · Guide · backtest 한국어
equity · CA
CES Energy Solutions Corp. backtest
10 trend-following strategies were compared on the full daily history of CES Energy Solutions Corp.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.0%, MDD -39.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 14.7%, drawdown -95.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 18.7%, MDD -41.9%, Sharpe 0.95, 29% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 23.9%, MDD -54.8%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 53.1%p (CAGR 18.0%, MDD -39.0%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=18 |
18.7% | -41.9% | 0.95 | 0.45 | 33.3x | 56 | 29% |
| Donchian 채널 돌파 entryN=92, exitN=45 |
23.2% | -45.0% | 0.92 | 0.51 | 71.4x | 30 | 44% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=21, mult=3.5 |
18.0% | -39.0% | 0.90 | 0.46 | 29.7x | 56 | 30% |
| ROC 모멘텀 n=82, threshold=0.06 |
23.1% | -43.4% | 0.88 | 0.53 | 70.7x | 176 | 50% |
| EMA 크로스오버 fast=23, slow=61 |
23.9% | -54.8% | 0.87 | 0.44 | 80.4x | 59 | 55% |
| SMA 크로스오버 fast=10, slow=120 |
23.2% | -53.5% | 0.85 | 0.43 | 72.3x | 59 | 56% |
| 볼린저 밴드 돌파 n=39, k=2.7 |
16.0% | -48.7% | 0.79 | 0.33 | 20.9x | 67 | 31% |
| Supertrend period=8, mult=5 |
19.2% | -68.4% | 0.71 | 0.28 | 36.7x | 59 | 59% |
| MACD fast=28, slow=59, signal=27 |
11.2% | -71.1% | 0.49 | 0.16 | 8.9x | 147 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
6.6% | -85.8% | 0.36 | 0.08 | 3.7x | 335 | 53% |
| Buy and hold | 14.7% | -95.0% | 0.53 | 0.15 | 16.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)