Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Contact Energy Limited backtest
10 trend-following strategies were compared on the full daily history of Contact Energy Limited. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.2%, drawdown -49.1%).
Sharpe leader (same as main): MACD — CAGR 2.5%, MDD -28.5%, Sharpe 0.24, 52% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 2.6%, MDD -56.7%, exposure 86%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=19, slow=53, signal=30 |
2.5% | -28.5% | 0.24 | 0.09 | 1.9x | 214 | 52% |
| ROC 모멘텀 n=153, threshold=-0.11 |
2.6% | -56.7% | 0.23 | 0.05 | 2.0x | 109 | 86% |
| Donchian 채널 돌파 entryN=100, exitN=112 |
2.3% | -46.9% | 0.22 | 0.05 | 1.8x | 32 | 62% |
| Supertrend period=20, mult=4.9 |
1.4% | -47.9% | 0.17 | 0.03 | 1.4x | 84 | 57% |
| SMA 크로스오버 fast=24, slow=56 |
1.1% | -56.5% | 0.15 | 0.02 | 1.3x | 120 | 58% |
| 볼린저 밴드 돌파 n=43, k=2.7 |
0.8% | -29.2% | 0.13 | 0.03 | 1.2x | 78 | 23% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.5% | -40.7% | 0.11 | 0.01 | 1.1x | 196 | 53% |
| EMA 크로스오버 fast=26, slow=188 |
0.2% | -59.5% | 0.09 | 0.00 | 1.0x | 60 | 62% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=11, mult=2.6 |
-0.6% | -47.1% | 0.01 | -0.01 | 0.9x | 108 | 31% |
| ADX / DI 방향성 period=36, threshold=25 |
-0.7% | -36.1% | -0.07 | -0.02 | 0.8x | 24 | 6% |
| Buy and hold | 4.2% | -49.1% | 0.30 | 0.09 | 3.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (19/53) crosses above its 30-day signal line
- Sell — Sell when the MACD line crosses back below the signal line