Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Parex Resources Inc. backtest
10 trend-following strategies were compared on the full daily history of Parex Resources Inc.. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.5%, MDD -36.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.2%, drawdown -64.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.5%, MDD -36.5%, Sharpe 0.54, 37% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 9.5%, MDD -36.5%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=13, mult=2.7 |
9.5% | -36.5% | 0.54 | 0.26 | 3.7x | 50 | 37% |
| 볼린저 밴드 돌파 n=49, k=1.3 |
8.5% | -51.4% | 0.46 | 0.17 | 3.3x | 86 | 44% |
| EMA 크로스오버 fast=13, slow=34 |
9.1% | -50.6% | 0.45 | 0.18 | 3.5x | 86 | 55% |
| SMA 크로스오버 fast=4, slow=43 |
9.2% | -48.2% | 0.45 | 0.19 | 3.6x | 138 | 56% |
| Supertrend period=23, mult=4.4 |
9.0% | -58.9% | 0.44 | 0.15 | 3.5x | 56 | 58% |
| ADX / DI 방향성 period=37, threshold=28 |
2.6% | -11.3% | 0.43 | 0.23 | 1.5x | 2 | 3% |
| Donchian 채널 돌파 entryN=69, exitN=23 |
6.7% | -43.8% | 0.41 | 0.15 | 2.6x | 42 | 35% |
| ROC 모멘텀 n=40, threshold=-0.02 |
6.4% | -45.6% | 0.36 | 0.14 | 2.4x | 202 | 60% |
| MACD fast=18, slow=57, signal=17 |
6.2% | -65.8% | 0.35 | 0.09 | 2.4x | 143 | 50% |
| Parabolic SAR step=0.025, maxStep=0.4 |
-7.2% | -82.3% | -0.11 | -0.09 | 0.3x | 372 | 50% |
| Buy and hold | 8.2% | -64.8% | 0.40 | 0.13 | 3.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 54-day average + 2.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 54-day average