Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Energy Fuels Inc. backtest
10 trend-following strategies were compared on the full daily history of Energy Fuels Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.3%, MDD -57.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR -7.2%, drawdown -99.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -93.7%, Sharpe 0.55, 42% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 10.3%, MDD -57.9%, exposure 8%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.5%p higher than buy and hold, while drawdown improves by 5.9%p (CAGR 10.3%, MDD -57.9%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=107 |
10.3% | -93.7% | 0.55 | 0.11 | 18.8x | 78 | 42% |
| ADX / DI 방향성 period=37, threshold=24 |
10.3% | -57.9% | 0.46 | 0.18 | 19.2x | 26 | 8% |
| Donchian 채널 돌파 entryN=33, exitN=76 |
-10.9% | -99.8% | 0.44 | -0.11 | 0.0x | 90 | 60% |
| EMA 크로스오버 fast=56, slow=83 |
1.8% | -93.2% | 0.44 | 0.02 | 1.7x | 64 | 37% |
| ROC 모멘텀 n=82, threshold=0.12 |
-8.4% | -100.0% | 0.35 | -0.08 | 0.1x | 290 | 33% |
| 볼린저 밴드 돌파 n=45, k=2.7 |
-1.5% | -99.8% | 0.33 | -0.02 | 0.6x | 88 | 21% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=8, mult=3.8 |
-7.9% | -99.8% | 0.24 | -0.08 | 0.1x | 78 | 14% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-18.3% | -100.0% | 0.23 | -0.18 | 0.0x | 214 | 42% |
| MACD fast=24, slow=29, signal=20 |
-33.0% | -100.0% | 0.21 | -0.33 | 0.0x | 358 | 51% |
| Supertrend period=12, mult=4.8 |
-37.6% | -100.0% | 0.10 | -0.38 | 0.0x | 168 | 50% |
| Buy and hold | -7.2% | -99.6% | 0.66 | -0.07 | 0.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 51-day average falls below the 107-day average