Trend-Following Backtester · Guide · backtest 한국어
equity · US
Expro Ltd backtest
10 trend-following strategies were compared on the full daily history of Expro Ltd. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.0%, MDD -56.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -16.2%, drawdown -96.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.0%, MDD -56.4%, Sharpe 0.16, 17% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.2%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 1.0%, MDD -56.4%, exposure 17%).
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=56, atrPeriod=21, mult=2.9 |
1.0% | -56.4% | 0.16 | 0.02 | 1.1x | 26 | 17% |
| SMA 크로스오버 fast=42, slow=59 |
-4.9% | -77.8% | 0.04 | -0.06 | 0.5x | 66 | 45% |
| Donchian 채널 돌파 entryN=113, exitN=40 |
-1.6% | -59.4% | 0.04 | -0.03 | 0.8x | 12 | 16% |
| EMA 크로스오버 fast=22, slow=143 |
-4.8% | -60.4% | -0.02 | -0.08 | 0.5x | 27 | 31% |
| 볼린저 밴드 돌파 n=56, k=2.1 |
-4.0% | -64.9% | -0.03 | -0.06 | 0.6x | 40 | 23% |
| ADX / DI 방향성 period=36, threshold=11 |
-5.5% | -68.8% | -0.07 | -0.08 | 0.5x | 84 | 29% |
| MACD fast=23, slow=59, signal=23 |
-10.5% | -84.4% | -0.08 | -0.12 | 0.2x | 111 | 48% |
| ROC 모멘텀 n=141, threshold=0.07 |
-6.2% | -72.4% | -0.09 | -0.09 | 0.4x | 59 | 25% |
| Supertrend period=25, mult=3.2 |
-11.3% | -90.3% | -0.12 | -0.12 | 0.2x | 75 | 48% |
| Parabolic SAR step=0.025, maxStep=0.32 |
-19.0% | -94.8% | -0.32 | -0.20 | 0.1x | 326 | 50% |
| Buy and hold | -16.2% | -96.4% | 0.01 | -0.17 | 0.1x | 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 56-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 56-day average