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 41.9%, MDD -38.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 48.3%, drawdown -70.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 21.3%, MDD -13.5%, Sharpe 1.42, 12% exposure.
CAGR reference leader: Supertrend — CAGR 46.7%, MDD -59.8%, exposure 59%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 27.0%p lower than buy and hold, while drawdown improves by 57.4%p (CAGR 41.9%, MDD -38.4%, exposure 42%).
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 |
21.3% | -13.5% | 1.42 | 1.58 | 3.2x | 6 | 12% |
| SMA 크로스오버 fast=44, slow=191 |
41.9% | -38.4% | 1.41 | 1.09 | 8.4x | 7 | 42% |
| Supertrend period=8, mult=2.9 |
46.7% | -59.8% | 1.36 | 0.78 | 10.3x | 30 | 59% |
| ADX / DI 방향성 period=19, threshold=39 |
20.1% | -12.8% | 1.27 | 1.57 | 3.0x | 6 | 11% |
| Parabolic SAR step=0.005, maxStep=0.34 |
41.6% | -56.1% | 1.26 | 0.74 | 8.3x | 40 | 57% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=2.3 |
31.3% | -30.4% | 1.18 | 1.03 | 5.2x | 16 | 38% |
| ROC 모멘텀 n=95, threshold=0.04 |
34.4% | -38.4% | 1.18 | 0.90 | 6.0x | 31 | 47% |
| MACD fast=24, slow=50, signal=17 |
32.5% | -41.7% | 1.13 | 0.78 | 5.5x | 36 | 47% |
| EMA 크로스오버 fast=43, slow=176 |
29.3% | -43.1% | 1.04 | 0.68 | 4.8x | 7 | 50% |
| Donchian 채널 돌파 entryN=119, exitN=55 |
27.2% | -38.4% | 1.01 | 0.71 | 4.3x | 5 | 43% |
| Buy and hold | 48.3% | -70.9% | 1.17 | 0.68 | 11.0x | 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