Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Paramount Resources Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Paramount Resources Ltd. Class A. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.8%, MDD -41.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.8%, drawdown -98.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.6%, MDD -67.0%, Sharpe 0.61, 49% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.4%, MDD -76.6%, exposure 67%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 6.8%, MDD -41.7%, exposure 12%).
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=149, threshold=0.06 |
14.6% | -67.0% | 0.61 | 0.22 | 74.5x | 199 | 49% |
| Donchian 채널 돌파 entryN=56, exitN=77 |
15.4% | -76.6% | 0.58 | 0.20 | 92.3x | 55 | 67% |
| Parabolic SAR step=0.02, maxStep=0.12 |
15.2% | -71.4% | 0.58 | 0.21 | 86.9x | 564 | 52% |
| SMA 크로스오버 fast=40, slow=169 |
13.3% | -75.5% | 0.55 | 0.18 | 51.3x | 51 | 57% |
| EMA 크로스오버 fast=25, slow=142 |
11.3% | -79.9% | 0.50 | 0.14 | 29.3x | 65 | 55% |
| ADX / DI 방향성 period=15, threshold=34 |
6.8% | -41.7% | 0.50 | 0.16 | 8.0x | 104 | 12% |
| MACD fast=16, slow=28, signal=6 |
11.1% | -72.6% | 0.47 | 0.15 | 27.6x | 596 | 52% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=8, mult=3.4 |
6.4% | -58.7% | 0.40 | 0.11 | 7.0x | 113 | 26% |
| Supertrend period=17, mult=1.9 |
7.3% | -87.7% | 0.38 | 0.08 | 9.4x | 475 | 51% |
| 볼린저 밴드 돌파 n=13, k=1.3 |
6.8% | -80.4% | 0.37 | 0.08 | 8.0x | 586 | 40% |
| Buy and hold | 6.8% | -98.4% | 0.39 | 0.07 | 8.0x | 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 149-day return is greater than 6%
- Sell — Sell when the 149-day return drops to 6% or below