Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Whitecap Resources Inc. backtest
10 trend-following strategies were compared on the full daily history of Whitecap Resources Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.2%, MDD -60.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.2%, drawdown -95.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.2%, MDD -60.9%, Sharpe 0.37, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 7.2%, MDD -60.9%, exposure 52%).
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=69, slow=383 |
7.2% | -60.9% | 0.37 | 0.12 | 5.5x | 17 | 52% |
| SMA 크로스오버 fast=35, slow=65 |
1.5% | -80.1% | 0.34 | 0.02 | 1.4x | 100 | 53% |
| Donchian 채널 돌파 entryN=26, exitN=105 |
-2.2% | -97.4% | 0.31 | -0.02 | 0.6x | 59 | 79% |
| ADX / DI 방향성 period=38, threshold=9 |
-7.1% | -97.4% | 0.08 | -0.07 | 0.2x | 223 | 44% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-15.2% | -99.3% | -0.07 | -0.15 | 0.0x | 185 | 49% |
| ROC 모멘텀 n=120, threshold=-0.04 |
-20.1% | -99.9% | -0.08 | -0.20 | 0.0x | 241 | 60% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
-9.1% | -94.0% | -0.12 | -0.10 | 0.1x | 62 | 16% |
| MACD fast=17, slow=35, signal=19 |
-25.0% | -100.0% | -0.14 | -0.25 | 0.0x | 313 | 50% |
| Supertrend period=15, mult=3.9 |
-26.9% | -100.0% | -0.19 | -0.27 | 0.0x | 187 | 51% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=3.8 |
-16.5% | -99.2% | -0.29 | -0.17 | 0.0x | 88 | 22% |
| Buy and hold | 4.2% | -95.8% | 0.48 | 0.04 | 2.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 69-day EMA crosses above the 383-day EMA
- Sell — Sell when the 69-day EMA falls below the 383-day EMA