Trend-Following Backtester · Guide · backtest 한국어
equity · SE
International Petroleum Corp. (British Columbia) backtest
10 trend-following strategies were compared on the full daily history of International Petroleum Corp. (British Columbia). 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 24.1%, MDD -39.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 23.0%, drawdown -81.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 29.4%, MDD -44.4%, Sharpe 0.88, 75% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 29.7%, MDD -49.6%, exposure 84%.
Return/drawdown alternative: MACD — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 37.2%p (CAGR 24.1%, MDD -39.5%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=30, threshold=-0.07 |
29.4% | -44.4% | 0.88 | 0.66 | 11.1x | 137 | 75% |
| Donchian 채널 돌파 entryN=12, exitN=68 |
29.7% | -49.6% | 0.85 | 0.60 | 11.4x | 27 | 84% |
| MACD fast=9, slow=59, signal=7 |
24.1% | -39.5% | 0.83 | 0.61 | 7.5x | 181 | 51% |
| SMA 크로스오버 fast=24, slow=225 |
23.9% | -55.8% | 0.82 | 0.43 | 7.4x | 13 | 60% |
| 볼린저 밴드 돌파 n=44, k=1.6 |
19.3% | -30.6% | 0.77 | 0.63 | 5.2x | 53 | 43% |
| EMA 크로스오버 fast=59, slow=83 |
22.6% | -53.6% | 0.77 | 0.42 | 6.7x | 17 | 66% |
| Supertrend period=13, mult=2.9 |
18.7% | -48.3% | 0.71 | 0.39 | 5.0x | 65 | 53% |
| Parabolic SAR step=0.04, maxStep=0.22 |
18.4% | -55.8% | 0.69 | 0.33 | 4.9x | 292 | 53% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=19, mult=1.6 |
13.4% | -45.3% | 0.68 | 0.30 | 3.2x | 73 | 27% |
| ADX / DI 방향성 period=22, threshold=11 |
14.7% | -60.2% | 0.58 | 0.24 | 3.6x | 151 | 57% |
| Buy and hold | 23.0% | -81.6% | 0.68 | 0.28 | 6.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 30-day return is greater than -7%
- Sell — Sell when the 30-day return drops to -7% or below