Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Tenaz Energy Corp backtest
10 trend-following strategies were compared on the full daily history of Tenaz Energy Corp. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 43.7%, MDD -42.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 32.2%, drawdown -83.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 54.3%, MDD -44.1%, Sharpe 1.12, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 22.1%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR 43.7%, MDD -42.1%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=51, slow=171 |
54.3% | -44.1% | 1.12 | 1.23 | 33.0x | 3 | 57% |
| SMA 크로스오버 fast=33, slow=205 |
43.7% | -42.1% | 1.04 | 1.04 | 18.6x | 5 | 55% |
| ADX / DI 방향성 period=25, threshold=35 |
14.1% | -13.2% | 0.98 | 1.07 | 2.9x | 6 | 7% |
| ROC 모멘텀 n=149, threshold=0.02 |
38.7% | -46.2% | 0.95 | 0.84 | 14.0x | 37 | 56% |
| MACD fast=14, slow=51, signal=18 |
37.2% | -61.7% | 0.86 | 0.60 | 12.8x | 81 | 50% |
| 볼린저 밴드 돌파 n=32, k=3.2 |
21.2% | -36.8% | 0.84 | 0.58 | 4.7x | 24 | 20% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=26, mult=2 |
25.1% | -37.3% | 0.81 | 0.67 | 6.1x | 47 | 33% |
| Parabolic SAR step=0.01, maxStep=0.14 |
32.8% | -56.1% | 0.80 | 0.58 | 9.8x | 85 | 50% |
| Donchian 채널 돌파 entryN=23, exitN=66 |
32.7% | -70.5% | 0.77 | 0.46 | 9.8x | 17 | 75% |
| Supertrend period=10, mult=4.8 |
26.4% | -46.0% | 0.74 | 0.57 | 6.6x | 25 | 56% |
| Buy and hold | 32.2% | -83.8% | 0.73 | 0.38 | 9.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 51-day EMA crosses above the 171-day EMA
- Sell — Sell when the 51-day EMA falls below the 171-day EMA