Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Total Energy Services Inc. backtest
10 trend-following strategies were compared on the full daily history of Total Energy Services Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.7%, MDD -54.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 15.3%, drawdown -93.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.6%, MDD -69.3%, Sharpe 0.80, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 24.5%p (CAGR 19.7%, MDD -54.5%, exposure 53%).
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=30, exitN=20 |
21.6% | -69.3% | 0.80 | 0.31 | 227.6x | 107 | 52% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
20.1% | -71.9% | 0.79 | 0.28 | 160.9x | 139 | 45% |
| EMA 크로스오버 fast=40, slow=44 |
20.1% | -55.3% | 0.76 | 0.36 | 159.0x | 73 | 53% |
| SMA 크로스오버 fast=7, slow=104 |
19.9% | -64.9% | 0.75 | 0.31 | 153.6x | 105 | 55% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=18, mult=2.3 |
18.1% | -61.3% | 0.75 | 0.29 | 99.5x | 107 | 42% |
| Supertrend period=19, mult=4.3 |
19.7% | -54.5% | 0.74 | 0.36 | 147.1x | 99 | 53% |
| ADX / DI 방향성 period=37, threshold=20 |
11.1% | -37.0% | 0.66 | 0.30 | 18.3x | 64 | 21% |
| ROC 모멘텀 n=67, threshold=0.03 |
15.0% | -74.6% | 0.63 | 0.20 | 48.3x | 259 | 49% |
| MACD fast=16, slow=51, signal=19 |
7.7% | -81.5% | 0.39 | 0.09 | 7.9x | 313 | 51% |
| Parabolic SAR step=0.03, maxStep=0.26 |
5.6% | -91.2% | 0.33 | 0.06 | 4.5x | 699 | 50% |
| Buy and hold | 15.3% | -93.8% | 0.54 | 0.16 | 52.1x | 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 30 days
- Sell — Sell when price breaks below the lowest low of the last 20 days