Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Peyto Exploration & Development Corp. backtest
10 trend-following strategies were compared on the full daily history of Peyto Exploration & Development Corp.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 28.9%, MDD -57.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 20.6%, drawdown -97.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 30.3%, MDD -64.0%, Sharpe 0.79, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 33.4%p (CAGR 28.9%, MDD -57.0%, exposure 63%).
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=59, slow=214 |
30.3% | -64.0% | 0.79 | 0.47 | 1941.0x | 25 | 63% |
| EMA 크로스오버 fast=37, slow=147 |
28.9% | -57.0% | 0.79 | 0.51 | 1428.5x | 33 | 63% |
| Donchian 채널 돌파 entryN=38, exitN=67 |
27.2% | -72.2% | 0.72 | 0.38 | 989.9x | 49 | 71% |
| ADX / DI 방향성 period=75, threshold=7 |
24.4% | -58.3% | 0.70 | 0.42 | 516.9x | 146 | 51% |
| ROC 모멘텀 n=136, threshold=-0.02 |
24.5% | -74.4% | 0.69 | 0.33 | 525.3x | 157 | 67% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=19, mult=1.8 |
19.3% | -58.2% | 0.61 | 0.33 | 156.1x | 109 | 54% |
| Supertrend period=26, mult=3.8 |
16.0% | -82.4% | 0.56 | 0.19 | 70.5x | 150 | 54% |
| 볼린저 밴드 돌파 n=53, k=1.3 |
12.1% | -67.9% | 0.47 | 0.18 | 26.6x | 158 | 46% |
| Parabolic SAR step=0.01, maxStep=0.34 |
8.2% | -89.7% | 0.40 | 0.09 | 9.5x | 371 | 53% |
| MACD fast=6, slow=43, signal=18 |
3.4% | -88.8% | 0.27 | 0.04 | 2.6x | 519 | 51% |
| Buy and hold | 20.6% | -97.4% | 0.60 | 0.21 | 213.3x | 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 59-day average price crosses above the 214-day average
- Sell — Sell (to cash) when the 59-day average falls below the 214-day average