Trend-Following Backtester · Guide · backtest 한국어
equity · HK
KunLun Energy Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of KunLun Energy Co. Ltd.. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.2%, MDD -55.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.1%, drawdown -82.3%).
Sharpe leader (same as main): MACD — CAGR 11.2%, MDD -66.0%, Sharpe 0.52, 51% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 16.3%p (CAGR 10.2%, MDD -55.1%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=29, slow=45, signal=23 |
11.2% | -66.0% | 0.52 | 0.17 | 17.1x | 199 | 51% |
| ADX / DI 방향성 period=23, threshold=17 |
9.6% | -56.7% | 0.50 | 0.17 | 11.6x | 164 | 31% |
| Supertrend period=9, mult=3.5 |
10.2% | -55.1% | 0.48 | 0.18 | 13.3x | 115 | 50% |
| 볼린저 밴드 돌파 n=23, k=3.2 |
5.8% | -28.1% | 0.45 | 0.21 | 4.4x | 48 | 10% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=28, mult=3.2 |
5.5% | -36.8% | 0.40 | 0.15 | 4.2x | 72 | 14% |
| Donchian 채널 돌파 entryN=40, exitN=61 |
7.4% | -74.8% | 0.39 | 0.10 | 6.7x | 59 | 63% |
| EMA 크로스오버 fast=19, slow=183 |
6.5% | -72.8% | 0.37 | 0.09 | 5.4x | 60 | 53% |
| SMA 크로스오버 fast=15, slow=158 |
6.0% | -78.7% | 0.35 | 0.08 | 4.8x | 78 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
5.5% | -83.5% | 0.33 | 0.07 | 4.2x | 195 | 49% |
| ROC 모멘텀 n=149, threshold=0.01 |
3.3% | -75.7% | 0.26 | 0.04 | 2.4x | 227 | 51% |
| Buy and hold | 8.1% | -82.3% | 0.40 | 0.10 | 8.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (29/45) crosses above its 23-day signal line
- Sell — Sell when the MACD line crosses back below the signal line