Trend-Following Backtester · Guide · backtest 한국어
equity · GR
MOTOR OIL (HELLAS) CORINTH REFINERIES S.A. backtest
10 trend-following strategies were compared on the full daily history of MOTOR OIL (HELLAS) CORINTH REFINERIES S.A.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.2%, MDD -44.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.7%, drawdown -85.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.2%, MDD -44.9%, Sharpe 0.67, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 14.2%, MDD -44.9%, exposure 58%).
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=208 |
14.2% | -44.9% | 0.67 | 0.32 | 28.1x | 29 | 58% |
| EMA 크로스오버 fast=48, slow=173 |
10.9% | -62.3% | 0.55 | 0.17 | 13.3x | 33 | 59% |
| Donchian 채널 돌파 entryN=137, exitN=64 |
8.8% | -48.2% | 0.51 | 0.18 | 8.3x | 29 | 48% |
| ADX / DI 방향성 period=26, threshold=28 |
3.1% | -21.5% | 0.41 | 0.14 | 2.1x | 25 | 7% |
| ROC 모멘텀 n=172, threshold=0.03 |
6.3% | -63.4% | 0.38 | 0.10 | 4.6x | 193 | 54% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=3.8 |
3.8% | -39.2% | 0.32 | 0.10 | 2.6x | 59 | 24% |
| Supertrend period=29, mult=4.3 |
4.2% | -59.7% | 0.29 | 0.07 | 2.8x | 95 | 50% |
| 볼린저 밴드 돌파 n=48, k=1.3 |
3.0% | -60.5% | 0.25 | 0.05 | 2.1x | 157 | 40% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.2% | -72.3% | 0.17 | 0.02 | 1.4x | 205 | 54% |
| MACD fast=18, slow=38, signal=16 |
-0.6% | -66.5% | 0.09 | -0.01 | 0.9x | 307 | 53% |
| Buy and hold | 7.7% | -85.2% | 0.39 | 0.09 | 6.4x | 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 208-day average
- Sell — Sell (to cash) when the 49-day average falls below the 208-day average