Trend-Following Backtester · Guide · backtest 한국어
equity · DE
SFC Energy AG backtest
10 trend-following strategies were compared on the full daily history of SFC Energy AG. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.7%, MDD -47.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -8.9%, drawdown -98.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.8%, MDD -48.2%, Sharpe 0.27, 25% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.8%p higher than buy and hold, while drawdown improves by 50.6%p (CAGR 1.7%, MDD -47.0%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=12 |
3.8% | -48.2% | 0.27 | 0.08 | 2.1x | 101 | 25% |
| SMA 크로스오버 fast=58, slow=96 |
2.7% | -70.2% | 0.26 | 0.04 | 1.7x | 59 | 44% |
| Donchian 채널 돌파 entryN=57, exitN=71 |
1.9% | -69.7% | 0.23 | 0.03 | 1.5x | 31 | 45% |
| EMA 크로스오버 fast=54, slow=110 |
1.0% | -68.2% | 0.21 | 0.02 | 1.2x | 33 | 40% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=13, mult=2.8 |
1.7% | -47.0% | 0.19 | 0.04 | 1.4x | 52 | 13% |
| 볼린저 밴드 돌파 n=38, k=2.3 |
0.6% | -59.1% | 0.16 | 0.01 | 1.1x | 76 | 19% |
| Supertrend period=22, mult=4.9 |
-1.7% | -79.6% | 0.14 | -0.02 | 0.7x | 60 | 49% |
| ROC 모멘텀 n=138, threshold=0.09 |
-3.8% | -84.0% | 0.06 | -0.04 | 0.5x | 155 | 32% |
| MACD fast=17, slow=29, signal=16 |
-15.0% | -99.5% | -0.11 | -0.15 | 0.0x | 291 | 51% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-14.9% | -98.0% | -0.20 | -0.15 | 0.0x | 300 | 47% |
| Buy and hold | -8.9% | -98.8% | 0.17 | -0.09 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)