Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Vermilion Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of Vermilion Energy Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.8%, MDD -55.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.6%, drawdown -96.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.5%, MDD -56.6%, Sharpe 0.59, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 11.8%, MDD -55.0%, exposure 61%).
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=51, slow=197 |
13.5% | -56.6% | 0.59 | 0.24 | 44.5x | 31 | 59% |
| EMA 크로스오버 fast=43, slow=183 |
11.8% | -55.0% | 0.53 | 0.21 | 28.3x | 33 | 61% |
| Donchian 채널 돌파 entryN=33, exitN=48 |
7.1% | -73.1% | 0.37 | 0.10 | 7.7x | 84 | 67% |
| Supertrend period=16, mult=5 |
6.3% | -76.0% | 0.35 | 0.08 | 6.3x | 97 | 57% |
| 볼린저 밴드 돌파 n=45, k=1.2 |
5.5% | -64.2% | 0.33 | 0.09 | 5.0x | 209 | 44% |
| ROC 모멘텀 n=83, threshold=-0.03 |
5.2% | -67.8% | 0.32 | 0.08 | 4.5x | 264 | 65% |
| ADX / DI 방향성 period=28, threshold=38 |
1.9% | -18.4% | 0.28 | 0.10 | 1.7x | 2 | 1% |
| Parabolic SAR step=0.015, maxStep=0.26 |
2.9% | -78.1% | 0.25 | 0.04 | 2.4x | 495 | 53% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=10, mult=1.2 |
2.2% | -86.0% | 0.22 | 0.03 | 1.9x | 307 | 45% |
| MACD fast=8, slow=25, signal=11 |
0.1% | -89.1% | 0.17 | 0.00 | 1.0x | 635 | 51% |
| Buy and hold | 8.6% | -96.8% | 0.41 | 0.09 | 11.9x | 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 51-day average price crosses above the 197-day average
- Sell — Sell (to cash) when the 51-day average falls below the 197-day average