Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Imperial Oil Limited backtest
10 trend-following strategies were compared on the full daily history of Imperial Oil Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.6%, MDD -58.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -81.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.6%, MDD -58.7%, Sharpe 0.53, 67% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 23.1%p (CAGR 9.6%, MDD -58.7%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=291 |
9.6% | -58.7% | 0.53 | 0.16 | 18.2x | 23 | 67% |
| SMA 크로스오버 fast=62, slow=209 |
8.5% | -58.3% | 0.49 | 0.15 | 13.0x | 39 | 63% |
| ROC 모멘텀 n=141, threshold=-0.07 |
6.1% | -83.6% | 0.37 | 0.07 | 6.4x | 223 | 80% |
| ADX / DI 방향성 period=23, threshold=20 |
3.3% | -28.8% | 0.32 | 0.12 | 2.8x | 132 | 22% |
| MACD fast=10, slow=28, signal=20 |
3.0% | -83.0% | 0.25 | 0.04 | 2.6x | 465 | 51% |
| Donchian 채널 돌파 entryN=39, exitN=78 |
3.0% | -83.1% | 0.24 | 0.04 | 2.5x | 71 | 74% |
| Supertrend period=28, mult=4.4 |
2.5% | -76.5% | 0.22 | 0.03 | 2.2x | 129 | 56% |
| Parabolic SAR step=0.02, maxStep=0.04 |
1.2% | -84.0% | 0.16 | 0.01 | 1.4x | 371 | 57% |
| 볼린저 밴드 돌파 n=53, k=2.4 |
1.0% | -51.1% | 0.14 | 0.02 | 1.4x | 106 | 27% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=1.6 |
-0.2% | -68.4% | 0.07 | -0.00 | 0.9x | 227 | 44% |
| Buy and hold | 12.0% | -81.7% | 0.53 | 0.15 | 35.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 291-day EMA
- Sell — Sell when the 58-day EMA falls below the 291-day EMA