Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Suncor Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of Suncor Energy Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.2%, MDD -57.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.0%, drawdown -79.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.2%, MDD -57.1%, Sharpe 0.54, 92% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 22.1%p (CAGR 12.2%, MDD -57.1%, exposure 92%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=7, exitN=93 |
12.2% | -57.1% | 0.54 | 0.21 | 38.1x | 79 | 92% |
| EMA 크로스오버 fast=70, slow=187 |
9.5% | -57.7% | 0.49 | 0.16 | 17.4x | 39 | 70% |
| SMA 크로스오버 fast=30, slow=201 |
8.8% | -54.8% | 0.47 | 0.16 | 14.3x | 55 | 68% |
| ROC 모멘텀 n=75, threshold=-0.09 |
7.6% | -52.2% | 0.41 | 0.15 | 10.2x | 235 | 85% |
| Keltner 채널 돌파 emaPeriod=86, atrPeriod=19, mult=4 |
3.9% | -45.2% | 0.32 | 0.09 | 3.4x | 71 | 32% |
| Supertrend period=16, mult=4.7 |
4.2% | -60.7% | 0.30 | 0.07 | 3.7x | 111 | 62% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
1.2% | -23.7% | 0.20 | 0.05 | 1.4x | 14 | 5% |
| MACD fast=23, slow=48, signal=14 |
1.3% | -80.7% | 0.17 | 0.02 | 1.5x | 359 | 50% |
| Parabolic SAR step=0.005, maxStep=0.42 |
0.3% | -80.2% | 0.13 | 0.00 | 1.1x | 287 | 56% |
| ADX / DI 방향성 period=30, threshold=31 |
0.1% | -10.3% | 0.07 | 0.01 | 1.0x | 8 | 1% |
| Buy and hold | 13.0% | -79.3% | 0.53 | 0.16 | 47.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 7 days
- Sell — Sell when price breaks below the lowest low of the last 93 days