Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Gibson Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of Gibson Energy Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Supertrend (CAGR 3.1%, MDD -43.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.2%, drawdown -66.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.5%, MDD -61.6%, Sharpe 0.30, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Supertrend — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 5.0%p (CAGR 3.1%, MDD -43.1%, exposure 61%).
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 Hold-like · Exposure 99% n=5, threshold=-0.11 |
4.5% | -61.6% | 0.30 | 0.07 | 1.9x | 25 | 99% |
| Supertrend period=23, mult=5 |
3.1% | -43.1% | 0.26 | 0.07 | 1.6x | 39 | 61% |
| ADX / DI 방향성 period=28, threshold=36 |
0.2% | -2.9% | 0.20 | 0.07 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=15, exitN=55 |
0.7% | -58.4% | 0.14 | 0.01 | 1.1x | 51 | 78% |
| 볼린저 밴드 돌파 n=53, k=3.3 |
0.5% | -19.2% | 0.10 | 0.02 | 1.1x | 14 | 10% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=16, mult=4 |
0.1% | -22.4% | 0.05 | 0.00 | 1.0x | 16 | 9% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.3% | -56.8% | 0.02 | -0.02 | 0.8x | 132 | 57% |
| EMA 크로스오버 fast=44, slow=152 |
-1.8% | -64.8% | 0.00 | -0.03 | 0.8x | 23 | 58% |
| SMA 크로스오버 fast=36, slow=210 |
-2.8% | -67.9% | -0.04 | -0.04 | 0.7x | 25 | 57% |
| MACD fast=12, slow=38, signal=16 |
-3.4% | -68.8% | -0.09 | -0.05 | 0.6x | 202 | 50% |
| Buy and hold | 3.2% | -66.6% | 0.25 | 0.05 | 1.6x | 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 5-day return is greater than -11%
- Sell — Sell when the 5-day return drops to -11% or below