Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Cenovus Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of Cenovus Energy Inc.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.2%, MDD -26.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.4%, drawdown -94.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.3%, MDD -49.5%, Sharpe 0.45, 22% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.0%, MDD -70.2%, exposure 62%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 44.7%p (CAGR 5.2%, MDD -26.4%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=158, threshold=0.19 |
7.3% | -49.5% | 0.45 | 0.15 | 3.2x | 85 | 22% |
| Donchian 채널 돌파 entryN=41, exitN=76 |
8.0% | -70.2% | 0.41 | 0.11 | 3.6x | 33 | 62% |
| 볼린저 밴드 돌파 n=20, k=2.4 |
5.2% | -26.4% | 0.40 | 0.20 | 2.3x | 87 | 19% |
| ADX / DI 방향성 period=38, threshold=14 |
3.7% | -35.1% | 0.30 | 0.11 | 1.8x | 67 | 21% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=11, mult=2.2 |
3.3% | -58.5% | 0.27 | 0.06 | 1.7x | 79 | 28% |
| SMA 크로스오버 fast=19, slow=219 |
3.4% | -77.6% | 0.26 | 0.04 | 1.8x | 39 | 47% |
| EMA 크로스오버 fast=25, slow=212 |
3.4% | -74.8% | 0.26 | 0.04 | 1.7x | 35 | 45% |
| Supertrend period=27, mult=3.8 |
2.0% | -70.2% | 0.20 | 0.03 | 1.4x | 87 | 49% |
| MACD fast=9, slow=34, signal=12 |
0.7% | -82.8% | 0.16 | 0.01 | 1.1x | 309 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.3% | -89.5% | 0.00 | -0.04 | 0.6x | 153 | 50% |
| Buy and hold | 2.4% | -94.2% | 0.28 | 0.03 | 1.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 158-day return is greater than 19%
- Sell — Sell when the 158-day return drops to 19% or below