Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Strathcona Resources Ltd. backtest
10 trend-following strategies were compared on the full daily history of Strathcona Resources Ltd.. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.3%, MDD -69.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.3%, drawdown -95.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 22.7%, MDD -77.9%, Sharpe 0.64, 36% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 19.4%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 12.3%, MDD -69.4%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=44, threshold=10 |
22.7% | -77.9% | 0.64 | 0.29 | 28.3x | 95 | 36% |
| Parabolic SAR step=0.01, maxStep=0.08 |
13.0% | -90.0% | 0.49 | 0.14 | 7.4x | 169 | 44% |
| SMA 크로스오버 fast=15, slow=179 |
12.3% | -69.4% | 0.48 | 0.18 | 6.7x | 33 | 40% |
| Donchian 채널 돌파 entryN=58, exitN=132 |
6.7% | -88.2% | 0.44 | 0.08 | 2.9x | 27 | 59% |
| EMA 크로스오버 fast=54, slow=198 |
9.2% | -80.2% | 0.42 | 0.11 | 4.2x | 21 | 37% |
| 볼린저 밴드 돌파 n=48, k=2.6 |
8.4% | -86.6% | 0.42 | 0.10 | 3.8x | 52 | 26% |
| ROC 모멘텀 n=67, threshold=0.07 |
3.2% | -86.9% | 0.34 | 0.04 | 1.7x | 199 | 37% |
| Supertrend period=19, mult=4.7 |
1.9% | -92.3% | 0.32 | 0.02 | 1.4x | 64 | 45% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=29, mult=2.2 |
-1.5% | -95.6% | 0.24 | -0.02 | 0.8x | 92 | 28% |
| MACD fast=10, slow=32, signal=18 |
-6.2% | -98.7% | 0.21 | -0.06 | 0.3x | 263 | 52% |
| Buy and hold | 3.3% | -95.2% | 0.49 | 0.03 | 1.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 44-day) is ≥ 10
- Sell — Sell when direction flips or the trend weakens (ADX < 10)