Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Baytex Energy Corp. backtest
10 trend-following strategies were compared on the full daily history of Baytex Energy Corp.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 13.9%, MDD -41.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.9%, drawdown -99.5%).
Sharpe leader (same as main): Supertrend — CAGR 18.6%, MDD -69.3%, Sharpe 0.72, 48% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 19.7%, MDD -79.8%, exposure 66%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.5%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 13.9%, MDD -41.2%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=4.2 |
18.6% | -69.3% | 0.72 | 0.27 | 179.6x | 120 | 48% |
| Donchian 채널 돌파 entryN=24, exitN=51 |
19.7% | -79.8% | 0.68 | 0.25 | 234.1x | 79 | 66% |
| ADX / DI 방향성 period=37, threshold=16 |
13.9% | -41.2% | 0.68 | 0.34 | 52.5x | 96 | 23% |
| 볼린저 밴드 돌파 n=37, k=1.5 |
15.4% | -63.1% | 0.65 | 0.24 | 77.9x | 186 | 40% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=27, mult=1.3 |
15.0% | -57.0% | 0.63 | 0.26 | 69.0x | 228 | 42% |
| EMA 크로스오버 fast=8, slow=59 |
13.7% | -79.4% | 0.56 | 0.17 | 48.8x | 154 | 53% |
| ROC 모멘텀 n=48, threshold=-0.02 |
14.3% | -87.0% | 0.56 | 0.16 | 57.5x | 350 | 59% |
| SMA 크로스오버 fast=30, slow=85 |
12.7% | -79.0% | 0.54 | 0.16 | 37.9x | 80 | 54% |
| MACD fast=54, slow=73, signal=40 |
13.5% | -76.5% | 0.52 | 0.18 | 46.6x | 138 | 54% |
| Parabolic SAR step=0.02, maxStep=0.24 |
6.0% | -76.1% | 0.34 | 0.08 | 5.8x | 608 | 51% |
| Buy and hold | -0.9% | -99.5% | 0.24 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)