Trend-Following Backtester · Guide · backtest 한국어
equity · US
Expand Energy Corporation backtest
10 trend-following strategies were compared on the full daily history of Expand Energy Corporation. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.6%, MDD -26.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.3%, drawdown -32.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.0%, MDD -12.2%, Sharpe 0.60, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.1%, MDD -27.9%, exposure 58%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 9.4%p lower than buy and hold, while drawdown improves by 20.6%p (CAGR 12.6%, MDD -26.0%, exposure 61%).
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=25, k=3.2 |
5.0% | -12.2% | 0.60 | 0.41 | 1.3x | 8 | 10% |
| SMA 크로스오버 fast=27, slow=97 |
13.1% | -27.9% | 0.58 | 0.47 | 2.0x | 12 | 58% |
| EMA 크로스오버 fast=30, slow=42 |
12.6% | -26.0% | 0.57 | 0.48 | 1.9x | 16 | 61% |
| Donchian 채널 돌파 entryN=12, exitN=33 |
12.4% | -37.4% | 0.55 | 0.33 | 1.9x | 21 | 75% |
| ROC 모멘텀 n=42, threshold=-0.04 |
4.1% | -38.6% | 0.28 | 0.11 | 1.2x | 75 | 69% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=16, mult=3.6 |
1.9% | -12.1% | 0.27 | 0.15 | 1.1x | 4 | 6% |
| Supertrend period=28, mult=4.6 |
3.1% | -43.8% | 0.25 | 0.07 | 1.2x | 18 | 54% |
| ADX / DI 방향성 period=28, threshold=15 |
2.6% | -21.7% | 0.23 | 0.12 | 1.2x | 30 | 29% |
| MACD fast=30, slow=36, signal=22 |
1.6% | -30.5% | 0.18 | 0.05 | 1.1x | 49 | 49% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-12.1% | -56.9% | -0.40 | -0.21 | 0.5x | 87 | 55% |
| Buy and hold | 14.3% | -32.9% | 0.56 | 0.44 | 2.1x | 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 25-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 25-day middle average