Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Obsidian Energy Ltd backtest
10 trend-following strategies were compared on the full daily history of Obsidian Energy Ltd. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 16.4%, MDD -47.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.2%, drawdown -99.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.4%, MDD -47.1%, Sharpe 0.68, 34% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 17.5%p higher than buy and hold, while drawdown improves by 52.8%p (CAGR 16.4%, MDD -47.1%, exposure 34%).
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=178, threshold=0.2 |
16.4% | -47.1% | 0.68 | 0.35 | 100.3x | 165 | 34% |
| EMA 크로스오버 fast=29, slow=127 |
14.0% | -58.4% | 0.58 | 0.24 | 53.6x | 55 | 52% |
| SMA 크로스오버 fast=13, slow=211 |
13.3% | -64.9% | 0.56 | 0.21 | 44.8x | 59 | 50% |
| Donchian 채널 돌파 entryN=97, exitN=56 |
11.5% | -52.2% | 0.53 | 0.22 | 27.8x | 46 | 44% |
| 볼린저 밴드 돌파 n=20, k=1.4 |
12.7% | -78.2% | 0.52 | 0.16 | 37.9x | 374 | 38% |
| ADX / DI 방향성 period=11, threshold=30 |
10.6% | -60.1% | 0.51 | 0.18 | 21.7x | 254 | 20% |
| Parabolic SAR step=0.025, maxStep=0.06 |
12.0% | -78.1% | 0.49 | 0.15 | 31.2x | 434 | 51% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=15, mult=0.9 |
11.2% | -66.8% | 0.48 | 0.17 | 25.4x | 362 | 41% |
| Supertrend period=4, mult=3.2 |
10.7% | -64.5% | 0.46 | 0.17 | 22.0x | 220 | 52% |
| MACD fast=9, slow=59, signal=17 |
7.2% | -90.4% | 0.37 | 0.08 | 8.4x | 418 | 51% |
| Buy and hold | -1.2% | -99.9% | 0.24 | -0.01 | 0.7x | 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 178-day return is greater than 20%
- Sell — Sell when the 178-day return drops to 20% or below