Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Cardinal Energy Ltd. backtest
10 trend-following strategies were compared on the full daily history of Cardinal Energy Ltd.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 13.0%, MDD -19.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.2%, drawdown -98.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.5%, MDD -33.7%, Sharpe 0.89, 30% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.3%p higher than buy and hold, while drawdown improves by 64.6%p (CAGR 13.0%, MDD -19.8%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=179, threshold=0.13 |
24.5% | -33.7% | 0.89 | 0.73 | 16.0x | 47 | 30% |
| ADX / DI 방향성 period=27, threshold=30 |
13.0% | -19.8% | 0.78 | 0.66 | 4.7x | 8 | 8% |
| 볼린저 밴드 돌파 n=44, k=2.2 |
18.4% | -41.1% | 0.72 | 0.45 | 8.5x | 49 | 31% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=28, mult=1.8 |
16.8% | -47.1% | 0.68 | 0.36 | 7.1x | 75 | 32% |
| SMA 크로스오버 fast=9, slow=194 |
17.7% | -52.2% | 0.67 | 0.34 | 7.8x | 33 | 41% |
| Supertrend period=18, mult=3.5 |
17.7% | -66.0% | 0.65 | 0.27 | 7.8x | 65 | 48% |
| Donchian 채널 돌파 entryN=22, exitN=10 |
13.9% | -58.9% | 0.58 | 0.24 | 5.2x | 91 | 37% |
| EMA 크로스오버 fast=47, slow=130 |
11.4% | -71.0% | 0.51 | 0.16 | 3.9x | 25 | 42% |
| MACD fast=19, slow=73, signal=19 |
12.8% | -65.8% | 0.51 | 0.19 | 4.6x | 117 | 52% |
| Parabolic SAR step=0.045, maxStep=0.22 |
6.4% | -85.5% | 0.35 | 0.07 | 2.2x | 415 | 50% |
| Buy and hold | 0.2% | -98.3% | 0.27 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 179-day return is greater than 13%
- Sell — Sell when the 179-day return drops to 13% or below