Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Valeura Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of Valeura Energy Inc.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.2%, MDD -72.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.4%, drawdown -98.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.0%, MDD -86.3%, Sharpe 0.56, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 11.9%p (CAGR 14.2%, MDD -72.1%, exposure 22%).
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=34, exitN=33 |
19.0% | -86.3% | 0.56 | 0.22 | 26.4x | 61 | 52% |
| SMA 크로스오버 fast=10, slow=208 |
16.9% | -89.9% | 0.51 | 0.19 | 19.0x | 41 | 45% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
11.7% | -74.7% | 0.51 | 0.16 | 8.1x | 24 | 10% |
| EMA 크로스오버 fast=26, slow=85 |
13.6% | -84.2% | 0.47 | 0.16 | 11.1x | 61 | 43% |
| ADX / DI 방향성 period=35, threshold=16 |
14.2% | -72.1% | 0.47 | 0.20 | 12.3x | 94 | 22% |
| ROC 모멘텀 n=135, threshold=-0.04 |
12.4% | -94.2% | 0.47 | 0.13 | 9.0x | 175 | 51% |
| Supertrend period=16, mult=4.9 |
9.0% | -89.6% | 0.42 | 0.10 | 5.1x | 65 | 45% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=35, mult=3.4 |
9.3% | -90.1% | 0.39 | 0.10 | 5.3x | 58 | 22% |
| Parabolic SAR step=0.025, maxStep=0.32 |
-5.6% | -96.6% | 0.23 | -0.06 | 0.3x | 359 | 47% |
| MACD fast=14, slow=29, signal=15 |
-13.0% | -99.1% | 0.15 | -0.13 | 0.1x | 269 | 51% |
| Buy and hold | 5.4% | -98.2% | 0.51 | 0.06 | 2.7x | 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 34 days
- Sell — Sell when price breaks below the lowest low of the last 33 days