Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Topaz Energy Corp backtest
10 trend-following strategies were compared on the full daily history of Topaz Energy Corp. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.5%, drawdown -26.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.2%, MDD -34.1%, Sharpe 0.65, 82% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=61, threshold=-0.08 |
12.2% | -34.1% | 0.65 | 0.36 | 1.9x | 39 | 82% |
| SMA 크로스오버 fast=9, slow=117 |
10.8% | -26.4% | 0.64 | 0.41 | 1.8x | 13 | 66% |
| Donchian 채널 돌파 entryN=37, exitN=51 |
9.8% | -27.0% | 0.59 | 0.36 | 1.7x | 11 | 69% |
| EMA 크로스오버 fast=46, slow=129 |
10.3% | -23.8% | 0.58 | 0.43 | 1.8x | 9 | 73% |
| Supertrend period=8, mult=5 |
8.3% | -26.5% | 0.50 | 0.31 | 1.6x | 14 | 72% |
| 볼린저 밴드 돌파 n=39, k=1.2 |
4.0% | -16.8% | 0.33 | 0.24 | 1.3x | 47 | 44% |
| Parabolic SAR step=0.01, maxStep=0.36 |
3.9% | -29.2% | 0.31 | 0.13 | 1.2x | 81 | 53% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=24, mult=1.4 |
1.2% | -21.2% | 0.16 | 0.06 | 1.1x | 49 | 43% |
| ADX / DI 방향성 period=29, threshold=31 |
0.1% | -2.8% | 0.07 | 0.03 | 1.0x | 2 | 1% |
| MACD fast=11, slow=56, signal=15 |
-3.4% | -42.1% | -0.13 | -0.08 | 0.8x | 81 | 49% |
| Buy and hold | 16.5% | -26.7% | 0.76 | 0.62 | 2.4x | 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 61-day return is greater than -8%
- Sell — Sell when the 61-day return drops to -8% or below