Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Enerflex Ltd. backtest
10 trend-following strategies were compared on the full daily history of Enerflex Ltd.. 9 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 9.2%, MDD -31.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.1%, drawdown -78.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.2%, MDD -31.7%, Sharpe 0.72, 14% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 10.3%, MDD -48.9%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 46.8%p (CAGR 9.2%, MDD -31.7%, exposure 14%).
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=46, k=3.4 |
9.2% | -31.7% | 0.72 | 0.29 | 3.8x | 16 | 14% |
| EMA 크로스오버 fast=23, slow=86 |
10.3% | -48.9% | 0.51 | 0.21 | 4.4x | 37 | 52% |
| SMA 크로스오버 fast=25, slow=46 |
10.1% | -69.1% | 0.48 | 0.15 | 4.3x | 82 | 55% |
| Donchian 채널 돌파 entryN=78, exitN=32 |
8.1% | -49.3% | 0.48 | 0.16 | 3.3x | 34 | 35% |
| ROC 모멘텀 n=72, threshold=0.14 |
8.0% | -49.2% | 0.47 | 0.16 | 3.2x | 116 | 30% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=12, mult=2.6 |
7.7% | -54.2% | 0.47 | 0.14 | 3.1x | 60 | 33% |
| ADX / DI 방향성 period=25, threshold=36 |
3.8% | -13.7% | 0.46 | 0.28 | 1.8x | 8 | 4% |
| MACD fast=13, slow=53, signal=10 |
8.2% | -51.2% | 0.42 | 0.16 | 3.3x | 208 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
8.2% | -47.2% | 0.42 | 0.17 | 3.3x | 238 | 51% |
| Supertrend period=15, mult=4.3 |
7.4% | -68.8% | 0.40 | 0.11 | 2.9x | 58 | 56% |
| Buy and hold | 6.1% | -78.5% | 0.35 | 0.08 | 2.5x | 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 46-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 46-day middle average