Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Meren Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of Meren Energy Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.3%, MDD -73.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR -5.4%, drawdown -98.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.0%, MDD -80.1%, Sharpe 0.47, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.4%p higher than buy and hold, while drawdown improves by 18.2%p (CAGR 4.3%, MDD -73.3%, 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=64, slow=201 |
11.0% | -80.1% | 0.47 | 0.14 | 23.1x | 40 | 45% |
| EMA 크로스오버 fast=76, slow=117 |
7.3% | -80.7% | 0.42 | 0.09 | 8.3x | 43 | 45% |
| Donchian 채널 돌파 entryN=124, exitN=62 |
6.3% | -78.6% | 0.36 | 0.08 | 6.2x | 42 | 31% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
4.3% | -73.3% | 0.28 | 0.06 | 3.5x | 52 | 8% |
| ROC 모멘텀 n=138, threshold=-0.09 |
-4.2% | -93.8% | 0.26 | -0.05 | 0.3x | 295 | 59% |
| ADX / DI 방향성 period=39, threshold=27 |
1.8% | -77.3% | 0.23 | 0.02 | 1.7x | 14 | 5% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=18, mult=4 |
-7.6% | -97.2% | 0.10 | -0.08 | 0.1x | 90 | 27% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-13.2% | -98.8% | 0.01 | -0.13 | 0.0x | 204 | 44% |
| MACD fast=26, slow=53, signal=18 |
-20.2% | -99.9% | -0.04 | -0.20 | 0.0x | 296 | 51% |
| Supertrend period=23, mult=4.9 |
-28.4% | -100.0% | -0.25 | -0.28 | 0.0x | 197 | 51% |
| Buy and hold | -5.4% | -98.3% | 0.38 | -0.05 | 0.2x | 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 64-day average price crosses above the 201-day average
- Sell — Sell (to cash) when the 64-day average falls below the 201-day average