Trend-Following Backtester · Guide · backtest 한국어
equity · CA
ARC Resources Ltd. backtest
10 trend-following strategies were compared on the full daily history of ARC Resources Ltd.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.6%, MDD -43.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.9%, drawdown -92.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.6%, MDD -43.0%, Sharpe 0.44, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 49.1%p (CAGR 7.6%, MDD -43.0%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=35, slow=198 |
7.6% | -43.0% | 0.44 | 0.18 | 9.0x | 29 | 60% |
| SMA 크로스오버 fast=24, slow=162 |
5.9% | -53.6% | 0.37 | 0.11 | 5.6x | 53 | 58% |
| Donchian 채널 돌파 entryN=95, exitN=77 |
3.6% | -57.1% | 0.27 | 0.06 | 2.9x | 39 | 58% |
| ROC 모멘텀 n=198, threshold=-0.07 |
3.2% | -69.1% | 0.25 | 0.05 | 2.6x | 199 | 67% |
| ADX / DI 방향성 period=31, threshold=35 |
0.2% | -6.0% | 0.17 | 0.04 | 1.1x | 2 | 0% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
0.1% | -10.5% | 0.06 | 0.01 | 1.0x | 4 | 1% |
| Supertrend period=24, mult=5 |
-2.5% | -80.3% | 0.00 | -0.03 | 0.5x | 99 | 59% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=9, mult=3.9 |
-0.0% | -6.0% | 0.00 | -0.00 | 1.0x | 4 | 1% |
| MACD fast=16, slow=42, signal=21 |
-7.7% | -92.7% | -0.24 | -0.08 | 0.1x | 355 | 48% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-9.0% | -97.4% | -0.28 | -0.09 | 0.1x | 643 | 52% |
| Buy and hold | 3.9% | -92.0% | 0.28 | 0.04 | 3.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 35-day EMA crosses above the 198-day EMA
- Sell — Sell when the 35-day EMA falls below the 198-day EMA