Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Tamarack Valley Energy Ltd. backtest
10 trend-following strategies were compared on the full daily history of Tamarack Valley Energy Ltd.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.8%, MDD -30.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.3%, drawdown -94.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.5%, MDD -71.0%, Sharpe 0.69, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 7.8%, MDD -30.6%, exposure 15%).
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=23, slow=180 |
21.5% | -71.0% | 0.69 | 0.30 | 36.7x | 29 | 49% |
| EMA 크로스오버 fast=14, slow=117 |
18.8% | -65.0% | 0.63 | 0.29 | 24.0x | 45 | 49% |
| Donchian 채널 돌파 entryN=117, exitN=44 |
15.7% | -63.2% | 0.59 | 0.25 | 14.8x | 23 | 35% |
| ADX / DI 방향성 period=36, threshold=20 |
7.8% | -30.6% | 0.52 | 0.25 | 4.0x | 46 | 15% |
| ROC 모멘텀 n=134, threshold=0 |
12.2% | -77.1% | 0.49 | 0.16 | 8.4x | 127 | 51% |
| 볼린저 밴드 돌파 n=56, k=2.9 |
9.9% | -73.3% | 0.47 | 0.13 | 5.7x | 40 | 25% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=4 |
6.8% | -56.8% | 0.37 | 0.12 | 3.4x | 40 | 24% |
| Supertrend period=12, mult=5 |
-4.7% | -96.8% | 0.18 | -0.05 | 0.4x | 67 | 55% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-9.8% | -89.9% | 0.09 | -0.11 | 0.2x | 311 | 51% |
| MACD fast=17, slow=42, signal=19 |
-11.4% | -97.9% | 0.05 | -0.12 | 0.1x | 221 | 50% |
| Buy and hold | 6.3% | -94.3% | 0.47 | 0.07 | 3.1x | 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 23-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 23-day average falls below the 180-day average