Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Headwater Exploration Inc. backtest
10 trend-following strategies were compared on the full daily history of Headwater Exploration Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.9%, MDD -61.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.8%, drawdown -97.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.2%, MDD -78.9%, Sharpe 0.59, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 16.9%, MDD -61.7%, exposure 56%).
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=60, slow=95 |
20.2% | -78.9% | 0.59 | 0.26 | 196.2x | 83 | 54% |
| Donchian 채널 돌파 entryN=72, exitN=96 |
17.3% | -70.0% | 0.56 | 0.25 | 97.2x | 35 | 66% |
| EMA 크로스오버 fast=49, slow=265 |
16.9% | -61.7% | 0.56 | 0.27 | 86.7x | 27 | 56% |
| ROC 모멘텀 n=91, threshold=0 |
4.6% | -86.8% | 0.36 | 0.05 | 3.7x | 339 | 54% |
| 볼린저 밴드 돌파 n=50, k=3.1 |
5.1% | -68.5% | 0.32 | 0.07 | 4.2x | 66 | 18% |
| Parabolic SAR step=0.03, maxStep=0.06 |
0.4% | -96.5% | 0.29 | 0.00 | 1.1x | 433 | 48% |
| Supertrend period=12, mult=5 |
-2.2% | -98.8% | 0.27 | -0.02 | 0.5x | 114 | 53% |
| ADX / DI 방향성 period=32, threshold=8 |
-2.8% | -97.4% | 0.24 | -0.03 | 0.4x | 367 | 51% |
| MACD fast=20, slow=31, signal=29 |
-4.7% | -99.6% | 0.21 | -0.05 | 0.3x | 273 | 49% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=15, mult=3.5 |
0.2% | -92.4% | 0.20 | 0.00 | 1.1x | 90 | 16% |
| Buy and hold | 9.8% | -97.0% | 0.53 | 0.10 | 14.6x | 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 60-day average price crosses above the 95-day average
- Sell — Sell (to cash) when the 60-day average falls below the 95-day average