Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Parex Resources Inc. backtest
10 trend-following strategies were compared on the full daily history of Parex Resources Inc.. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.7%, MDD -36.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.4%, drawdown -64.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.7%, MDD -36.5%, Sharpe 0.55, 37% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.5%, MDD -48.2%, exposure 56%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 9.7%, MDD -36.5%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=13, mult=2.7 |
9.7% | -36.5% | 0.55 | 0.27 | 3.9x | 51 | 37% |
| SMA 크로스오버 fast=4, slow=43 |
10.5% | -48.2% | 0.49 | 0.22 | 4.3x | 139 | 56% |
| EMA 크로스오버 fast=13, slow=34 |
10.2% | -50.6% | 0.49 | 0.20 | 4.1x | 87 | 56% |
| 볼린저 밴드 돌파 n=49, k=1.3 |
9.1% | -51.4% | 0.48 | 0.18 | 3.6x | 87 | 44% |
| Supertrend period=23, mult=4.4 |
9.7% | -58.9% | 0.47 | 0.17 | 3.9x | 57 | 58% |
| ADX / DI 방향성 period=37, threshold=28 |
2.6% | -11.3% | 0.43 | 0.23 | 1.5x | 2 | 3% |
| Donchian 채널 돌파 entryN=69, exitN=23 |
6.6% | -43.8% | 0.41 | 0.15 | 2.6x | 42 | 34% |
| MACD fast=18, slow=57, signal=17 |
7.3% | -65.8% | 0.39 | 0.11 | 2.8x | 143 | 50% |
| ROC 모멘텀 n=40, threshold=-0.02 |
6.9% | -45.6% | 0.37 | 0.15 | 2.6x | 203 | 60% |
| Parabolic SAR step=0.025, maxStep=0.4 |
-6.5% | -82.3% | -0.08 | -0.08 | 0.4x | 374 | 50% |
| Buy and hold | 9.4% | -64.8% | 0.43 | 0.14 | 3.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 54-day average + 2.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 54-day average