Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Total Energy Services Inc. backtest
10 trend-following strategies were compared on the full daily history of Total Energy Services Inc.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.6%, MDD -54.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 14.2%, drawdown -93.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 20.0%, MDD -71.9%, Sharpe 0.79, 45% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 20.5%, MDD -69.3%, exposure 52%.
Return/drawdown alternative: Supertrend — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 21.9%p (CAGR 19.6%, MDD -54.5%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=58, k=1.1 |
20.0% | -71.9% | 0.79 | 0.28 | 153.0x | 138 | 45% |
| Donchian 채널 돌파 entryN=30, exitN=20 |
20.5% | -69.3% | 0.77 | 0.30 | 171.1x | 107 | 52% |
| Supertrend period=19, mult=4.3 |
19.6% | -54.5% | 0.74 | 0.36 | 139.9x | 98 | 53% |
| EMA 크로스오버 fast=40, slow=44 |
18.9% | -55.3% | 0.73 | 0.34 | 119.6x | 73 | 53% |
| SMA 크로스오버 fast=7, slow=104 |
18.8% | -64.9% | 0.72 | 0.29 | 115.5x | 105 | 55% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=18, mult=2.3 |
16.9% | -61.3% | 0.72 | 0.28 | 74.8x | 107 | 41% |
| ADX / DI 방향성 period=37, threshold=20 |
11.1% | -37.0% | 0.66 | 0.30 | 18.3x | 64 | 21% |
| ROC 모멘텀 n=67, threshold=0.03 |
14.2% | -74.6% | 0.60 | 0.19 | 39.3x | 258 | 49% |
| MACD fast=16, slow=51, signal=19 |
6.7% | -81.5% | 0.36 | 0.08 | 5.9x | 313 | 51% |
| Parabolic SAR step=0.03, maxStep=0.26 |
4.7% | -91.2% | 0.30 | 0.05 | 3.6x | 698 | 50% |
| Buy and hold | 14.2% | -93.8% | 0.52 | 0.15 | 39.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 58-day average (1.1× volatility)
- Sell — Sell when the close falls back to the 58-day middle average