Trend-Following Backtester · Guide · backtest 한국어
equity · US
T1 Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of T1 Energy Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 16.7%, MDD -48.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.3%, drawdown -94.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.4%, MDD -53.2%, Sharpe 0.57, 23% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 29.7%p higher than buy and hold, while drawdown improves by 40.9%p (CAGR 16.7%, MDD -48.4%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=15, mult=1.4 |
18.4% | -53.2% | 0.57 | 0.35 | 3.1x | 50 | 23% |
| Parabolic SAR step=0.01, maxStep=0.34 |
17.9% | -63.1% | 0.55 | 0.28 | 3.0x | 78 | 44% |
| ROC 모멘텀 n=41, threshold=0.2 |
16.7% | -48.4% | 0.54 | 0.34 | 2.8x | 62 | 20% |
| Supertrend period=20, mult=2.3 |
14.7% | -70.4% | 0.51 | 0.21 | 2.5x | 64 | 42% |
| 볼린저 밴드 돌파 n=20, k=1.8 |
13.4% | -62.1% | 0.49 | 0.22 | 2.3x | 58 | 28% |
| ADX / DI 방향성 period=7, threshold=11 |
5.4% | -82.1% | 0.40 | 0.07 | 1.4x | 207 | 51% |
| Donchian 채널 돌파 entryN=12, exitN=51 |
0.6% | -84.0% | 0.38 | 0.01 | 1.0x | 26 | 71% |
| MACD fast=6, slow=58, signal=11 |
0.6% | -84.0% | 0.34 | 0.01 | 1.0x | 133 | 53% |
| SMA 크로스오버 fast=12, slow=207 |
1.1% | -75.4% | 0.31 | 0.01 | 1.1x | 14 | 34% |
| EMA 크로스오버 fast=27, slow=157 |
-1.2% | -74.7% | 0.27 | -0.02 | 0.9x | 12 | 37% |
| Buy and hold | -11.3% | -94.1% | 0.30 | -0.12 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 21-day average + 1.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 21-day average