Trend-Following Backtester · Guide · backtest 한국어
equity · DE
2G Energy AG backtest
10 trend-following strategies were compared on the full daily history of 2G Energy AG. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 21.4%, MDD -54.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.7%, drawdown -72.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.4%, MDD -54.6%, Sharpe 0.70, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 17.8%p (CAGR 21.4%, MDD -54.6%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=385 |
21.4% | -54.6% | 0.70 | 0.39 | 40.0x | 13 | 59% |
| EMA 크로스오버 fast=85, slow=204 |
20.9% | -64.3% | 0.69 | 0.33 | 36.9x | 13 | 60% |
| MACD fast=19, slow=46, signal=18 |
12.6% | -57.1% | 0.52 | 0.22 | 9.6x | 198 | 49% |
| Parabolic SAR step=0.01, maxStep=0.24 |
12.5% | -59.4% | 0.52 | 0.21 | 9.4x | 216 | 50% |
| ROC 모멘텀 n=113, threshold=-0.03 |
11.7% | -70.1% | 0.48 | 0.17 | 8.2x | 189 | 63% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=27, mult=1.3 |
10.0% | -51.5% | 0.46 | 0.19 | 6.1x | 154 | 39% |
| 볼린저 밴드 돌파 n=42, k=1.5 |
7.9% | -55.2% | 0.40 | 0.14 | 4.2x | 118 | 37% |
| Donchian 채널 돌파 entryN=36, exitN=12 |
7.6% | -60.5% | 0.40 | 0.13 | 4.0x | 104 | 34% |
| Supertrend period=14, mult=4.6 |
8.0% | -63.7% | 0.39 | 0.13 | 4.3x | 73 | 57% |
| ADX / DI 방향성 period=16, threshold=15 |
5.6% | -71.6% | 0.33 | 0.08 | 2.8x | 268 | 40% |
| Buy and hold | 18.7% | -72.3% | 0.59 | 0.26 | 25.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 49-day average price crosses above the 385-day average
- Sell — Sell (to cash) when the 49-day average falls below the 385-day average