Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Topaz Energy Corp backtest
10 trend-following strategies were compared on the full daily history of Topaz Energy Corp. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.6%, drawdown -26.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.8%, MDD -34.1%, Sharpe 0.63, 82% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=61, threshold=-0.08 |
11.8% | -34.1% | 0.63 | 0.35 | 1.9x | 41 | 82% |
| Donchian 채널 돌파 entryN=37, exitN=51 |
10.0% | -27.0% | 0.60 | 0.37 | 1.7x | 11 | 69% |
| SMA 크로스오버 fast=9, slow=117 |
9.7% | -26.4% | 0.58 | 0.37 | 1.7x | 15 | 66% |
| EMA 크로스오버 fast=46, slow=129 |
10.5% | -23.8% | 0.58 | 0.44 | 1.8x | 9 | 73% |
| Supertrend period=8, mult=5 |
8.1% | -26.5% | 0.50 | 0.31 | 1.6x | 14 | 71% |
| Parabolic SAR step=0.01, maxStep=0.36 |
3.5% | -29.2% | 0.29 | 0.12 | 1.2x | 83 | 53% |
| 볼린저 밴드 돌파 n=39, k=1.2 |
2.8% | -19.7% | 0.25 | 0.14 | 1.2x | 49 | 44% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=24, mult=1.4 |
0.7% | -21.2% | 0.13 | 0.03 | 1.0x | 51 | 42% |
| ADX / DI 방향성 period=29, threshold=31 |
0.1% | -2.8% | 0.06 | 0.03 | 1.0x | 2 | 1% |
| MACD fast=11, slow=56, signal=15 |
-4.3% | -42.1% | -0.18 | -0.10 | 0.8x | 83 | 49% |
| Buy and hold | 16.6% | -26.7% | 0.77 | 0.62 | 2.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 61-day return is greater than -8%
- Sell — Sell when the 61-day return drops to -8% or below