Trend-Following Backtester · Guide · backtest 한국어
equity · US
Talos Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of Talos Energy, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -16.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.6%, drawdown -86.3%).
Sharpe leader (same as main): MACD — CAGR 12.5%, MDD -71.1%, Sharpe 0.49, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.1%p higher than buy and hold, while drawdown improves by 15.2%p (CAGR 1.4%, MDD -16.1%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=17, slow=33, signal=12 |
12.5% | -71.1% | 0.49 | 0.18 | 2.7x | 107 | 50% |
| Supertrend period=15, mult=1.9 |
8.0% | -57.1% | 0.39 | 0.14 | 1.9x | 106 | 48% |
| Donchian 채널 돌파 entryN=72, exitN=36 |
6.6% | -50.8% | 0.36 | 0.13 | 1.7x | 13 | 28% |
| 볼린저 밴드 돌파 n=31, k=2.4 |
3.4% | -44.5% | 0.26 | 0.08 | 1.3x | 35 | 20% |
| EMA 크로스오버 fast=22, slow=209 |
2.2% | -53.4% | 0.24 | 0.04 | 1.2x | 13 | 37% |
| Parabolic SAR step=0.025, maxStep=0.22 |
-0.9% | -75.6% | 0.20 | -0.01 | 0.9x | 204 | 49% |
| ADX / DI 방향성 period=22, threshold=32 |
1.4% | -16.1% | 0.19 | 0.09 | 1.1x | 6 | 1% |
| SMA 크로스오버 fast=28, slow=115 |
-1.8% | -67.3% | 0.13 | -0.03 | 0.9x | 19 | 40% |
| ROC 모멘텀 n=90, threshold=-0.04 |
-3.2% | -74.5% | 0.12 | -0.04 | 0.8x | 91 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=11, mult=1.9 |
-4.6% | -61.8% | 0.01 | -0.07 | 0.7x | 47 | 29% |
| Buy and hold | -8.6% | -86.3% | 0.18 | -0.10 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (17/33) crosses above its 12-day signal line
- Sell — Sell when the MACD line crosses back below the signal line