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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.0%, drawdown -32.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.5%, MDD -27.9%, Sharpe 0.60, 57% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=27, slow=97 |
13.5% | -27.9% | 0.60 | 0.48 | 2.0x | 13 | 57% |
| 볼린저 밴드 돌파 n=25, k=3.2 |
4.9% | -12.2% | 0.60 | 0.40 | 1.3x | 8 | 10% |
| EMA 크로스오버 fast=30, slow=42 |
12.7% | -26.3% | 0.57 | 0.48 | 1.9x | 17 | 61% |
| Donchian 채널 돌파 entryN=12, exitN=33 |
13.1% | -37.4% | 0.57 | 0.35 | 2.0x | 21 | 76% |
| ROC 모멘텀 n=42, threshold=-0.04 |
4.8% | -38.6% | 0.31 | 0.12 | 1.3x | 75 | 69% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=16, mult=3.6 |
1.8% | -12.1% | 0.27 | 0.15 | 1.1x | 4 | 6% |
| Supertrend period=28, mult=4.6 |
2.9% | -43.8% | 0.24 | 0.07 | 1.2x | 19 | 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 |
2.3% | -30.5% | 0.22 | 0.08 | 1.1x | 49 | 50% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-11.2% | -56.9% | -0.36 | -0.20 | 0.5x | 87 | 56% |
| Buy and hold | 15.0% | -32.9% | 0.58 | 0.46 | 2.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 27-day average price crosses above the 97-day average
- Sell — Sell (to cash) when the 27-day average falls below the 97-day average