Trend-Following Backtester · Guide · backtest 한국어
equity · IL
DORAL GROUP RENEWABLE ENERGY RESOURCES LTD backtest
10 trend-following strategies were compared on the full daily history of DORAL GROUP RENEWABLE ENERGY RESOURCES LTD. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 40.0%, MDD -39.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 46.2%, drawdown -70.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 21.0%, MDD -13.5%, Sharpe 1.40, 12% exposure.
CAGR reference leader: Supertrend — CAGR 45.9%, MDD -59.8%, exposure 58%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 25.2%p lower than buy and hold, while drawdown improves by 57.4%p (CAGR 40.0%, MDD -39.1%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=23, k=3.5 |
21.0% | -13.5% | 1.40 | 1.56 | 3.2x | 6 | 12% |
| SMA 크로스오버 fast=44, slow=191 |
40.0% | -39.1% | 1.35 | 1.02 | 8.0x | 7 | 43% |
| Supertrend period=8, mult=2.9 |
45.9% | -59.8% | 1.35 | 0.77 | 10.3x | 30 | 58% |
| ADX / DI 방향성 period=19, threshold=39 |
19.8% | -12.8% | 1.26 | 1.55 | 3.0x | 6 | 11% |
| Parabolic SAR step=0.005, maxStep=0.34 |
40.9% | -56.1% | 1.25 | 0.73 | 8.3x | 40 | 56% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=2.3 |
30.8% | -30.4% | 1.17 | 1.01 | 5.2x | 16 | 37% |
| ROC 모멘텀 n=95, threshold=0.04 |
33.0% | -41.2% | 1.14 | 0.80 | 5.8x | 35 | 48% |
| MACD fast=24, slow=50, signal=17 |
32.0% | -41.7% | 1.12 | 0.77 | 5.5x | 36 | 47% |
| EMA 크로스오버 fast=43, slow=176 |
27.8% | -43.1% | 0.99 | 0.64 | 4.5x | 7 | 51% |
| Donchian 채널 돌파 entryN=119, exitN=55 |
25.6% | -39.1% | 0.96 | 0.66 | 4.1x | 5 | 44% |
| Buy and hold | 46.2% | -70.9% | 1.14 | 0.65 | 10.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 23-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 23-day middle average