Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Surge Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of Surge Energy Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.2%, MDD -48.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.1%, drawdown -99.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.1%, MDD -61.4%, Sharpe 0.65, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.0%p higher than buy and hold, while drawdown improves by 37.6%p (CAGR 12.2%, MDD -48.7%, exposure 26%).
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=25, slow=187 |
19.1% | -61.4% | 0.65 | 0.31 | 132.2x | 35 | 51% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=9, mult=3.3 |
17.2% | -63.3% | 0.63 | 0.27 | 83.1x | 73 | 36% |
| EMA 크로스오버 fast=34, slow=118 |
17.4% | -72.2% | 0.61 | 0.24 | 87.8x | 43 | 51% |
| Donchian 채널 돌파 entryN=91, exitN=75 |
17.0% | -65.1% | 0.61 | 0.26 | 79.4x | 33 | 48% |
| ROC 모멘텀 n=109, threshold=0.13 |
15.4% | -70.4% | 0.58 | 0.22 | 54.2x | 187 | 40% |
| 볼린저 밴드 돌파 n=25, k=2.8 |
11.7% | -60.7% | 0.52 | 0.19 | 21.8x | 103 | 19% |
| ADX / DI 방향성 period=33, threshold=17 |
12.2% | -48.7% | 0.51 | 0.25 | 24.7x | 104 | 26% |
| Parabolic SAR step=0.005, maxStep=0.32 |
13.3% | -73.3% | 0.51 | 0.18 | 32.8x | 179 | 51% |
| Supertrend period=7, mult=4 |
4.2% | -87.6% | 0.30 | 0.05 | 3.1x | 191 | 53% |
| MACD fast=13, slow=49, signal=17 |
3.9% | -93.5% | 0.30 | 0.04 | 2.9x | 323 | 51% |
| Buy and hold | 5.1% | -99.0% | 0.39 | 0.05 | 4.0x | 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 25-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 25-day average falls below the 187-day average