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). 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 24.0%, MDD -39.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 21.5%, drawdown -81.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 30.2%, MDD -49.6%, Sharpe 0.86, 84% exposure.
Return/drawdown alternative: MACD — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 32.1%p (CAGR 24.0%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=68 |
30.2% | -49.6% | 0.86 | 0.61 | 11.5x | 25 | 84% |
| ROC 모멘텀 n=30, threshold=-0.07 |
27.9% | -44.4% | 0.85 | 0.63 | 9.7x | 137 | 74% |
| MACD fast=9, slow=59, signal=7 |
24.0% | -39.5% | 0.82 | 0.61 | 7.3x | 178 | 51% |
| SMA 크로스오버 fast=24, slow=225 |
22.4% | -55.8% | 0.78 | 0.40 | 6.5x | 13 | 60% |
| EMA 크로스오버 fast=59, slow=83 |
23.0% | -53.6% | 0.78 | 0.43 | 6.8x | 16 | 66% |
| 볼린저 밴드 돌파 n=44, k=1.6 |
18.9% | -30.6% | 0.76 | 0.62 | 5.0x | 52 | 43% |
| Supertrend period=13, mult=2.9 |
19.1% | -48.3% | 0.72 | 0.39 | 5.0x | 63 | 53% |
| Parabolic SAR step=0.04, maxStep=0.22 |
18.2% | -55.8% | 0.68 | 0.33 | 4.7x | 288 | 53% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=19, mult=1.6 |
13.5% | -45.3% | 0.68 | 0.30 | 3.2x | 72 | 27% |
| ADX / DI 방향성 period=22, threshold=11 |
15.3% | -60.2% | 0.60 | 0.25 | 3.7x | 148 | 57% |
| Buy and hold | 21.5% | -81.6% | 0.66 | 0.26 | 6.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 12 days
- Sell — Sell when price breaks below the lowest low of the last 68 days