Trend-Following Backtester · Guide · backtest 한국어
equity · US
Geopark Ltd backtest
10 trend-following strategies were compared on the full daily history of Geopark Ltd. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.7%, MDD -51.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.4%, drawdown -84.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.1%, MDD -66.6%, Sharpe 0.32, 39% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 3.7%, MDD -51.1%, exposure 23%).
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=120, threshold=0.07 |
5.1% | -66.6% | 0.32 | 0.08 | 2.2x | 135 | 39% |
| Donchian 채널 돌파 entryN=14, exitN=32 |
4.6% | -67.1% | 0.31 | 0.07 | 2.1x | 75 | 68% |
| Supertrend period=21, mult=3.3 |
4.1% | -75.0% | 0.29 | 0.05 | 1.9x | 92 | 51% |
| SMA 크로스오버 fast=14, slow=184 |
4.0% | -72.3% | 0.28 | 0.05 | 1.9x | 29 | 48% |
| ADX / DI 방향성 period=42, threshold=16 |
3.7% | -51.1% | 0.28 | 0.07 | 1.8x | 50 | 23% |
| EMA 크로스오버 fast=16, slow=91 |
3.5% | -66.3% | 0.27 | 0.05 | 1.7x | 45 | 49% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=16, mult=1.6 |
3.1% | -54.8% | 0.25 | 0.06 | 1.6x | 108 | 32% |
| 볼린저 밴드 돌파 n=47, k=2.8 |
2.2% | -53.8% | 0.21 | 0.04 | 1.4x | 36 | 18% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-2.4% | -79.9% | 0.09 | -0.03 | 0.7x | 241 | 49% |
| MACD fast=19, slow=22, signal=9 |
-6.2% | -81.8% | -0.02 | -0.08 | 0.4x | 265 | 51% |
| Buy and hold | 0.4% | -84.0% | 0.26 | 0.00 | 1.1x | 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 120-day return is greater than 7%
- Sell — Sell when the 120-day return drops to 7% or below