Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cheniere Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cheniere Energy, Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 23.3%, MDD -65.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.0%, drawdown -98.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.3%, MDD -65.2%, Sharpe 0.67, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 15.3%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 23.3%, MDD -65.2%, exposure 59%).
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=71, slow=200 |
23.3% | -65.2% | 0.67 | 0.36 | 878.6x | 39 | 59% |
| Donchian 채널 돌파 entryN=148, exitN=69 |
17.1% | -77.4% | 0.62 | 0.22 | 164.9x | 33 | 41% |
| EMA 크로스오버 fast=56, slow=217 |
18.2% | -76.2% | 0.62 | 0.24 | 223.2x | 31 | 54% |
| ROC 모멘텀 n=165, threshold=0.05 |
12.5% | -93.7% | 0.48 | 0.13 | 44.8x | 285 | 55% |
| MACD fast=24, slow=87, signal=27 |
16.5% | -87.1% | 0.48 | 0.19 | 141.3x | 239 | 52% |
| Supertrend period=25, mult=5 |
8.6% | -98.6% | 0.42 | 0.09 | 14.5x | 95 | 56% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=10, mult=4 |
6.7% | -85.1% | 0.37 | 0.08 | 8.2x | 68 | 23% |
| Parabolic SAR step=0.04, maxStep=0.08 |
7.1% | -92.5% | 0.35 | 0.08 | 9.2x | 641 | 51% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
5.8% | -76.7% | 0.34 | 0.08 | 6.2x | 48 | 12% |
| ADX / DI 방향성 period=9, threshold=14 |
-0.7% | -92.4% | 0.25 | -0.01 | 0.8x | 839 | 51% |
| Buy and hold | 8.0% | -98.9% | 0.48 | 0.08 | 12.1x | 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 71-day average price crosses above the 200-day average
- Sell — Sell (to cash) when the 71-day average falls below the 200-day average