Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Oil & Natural Gas Corp. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Oil & Natural Gas Corp. Ltd.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.7%, MDD -53.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.7%, drawdown -80.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.7%, MDD -53.0%, Sharpe 0.42, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 27.7%p (CAGR 9.7%, MDD -53.0%, exposure 55%).
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=24, slow=65 |
9.7% | -53.0% | 0.42 | 0.18 | 17.2x | 98 | 55% |
| SMA 크로스오버 fast=7, slow=129 |
9.4% | -55.8% | 0.42 | 0.17 | 15.6x | 112 | 54% |
| Donchian 채널 돌파 entryN=51, exitN=62 |
5.3% | -66.3% | 0.32 | 0.08 | 4.8x | 56 | 59% |
| MACD fast=25, slow=38, signal=39 |
4.7% | -69.9% | 0.30 | 0.07 | 4.0x | 231 | 49% |
| ROC 모멘텀 n=101, threshold=0.02 |
4.1% | -65.8% | 0.29 | 0.06 | 3.4x | 300 | 51% |
| 볼린저 밴드 돌파 n=89, k=2.3 |
4.2% | -82.4% | 0.29 | 0.05 | 3.5x | 68 | 33% |
| ADX / DI 방향성 period=34, threshold=31 |
1.5% | -21.6% | 0.25 | 0.07 | 1.6x | 10 | 3% |
| Supertrend period=9, mult=4.1 |
-3.8% | -96.2% | 0.09 | -0.04 | 0.3x | 128 | 50% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-5.0% | -93.8% | 0.04 | -0.05 | 0.2x | 384 | 49% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=26, mult=1.7 |
-7.7% | -96.9% | -0.05 | -0.08 | 0.1x | 184 | 38% |
| Buy and hold | 8.7% | -80.7% | 0.41 | 0.11 | 12.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 24-day EMA crosses above the 65-day EMA
- Sell — Sell when the 24-day EMA falls below the 65-day EMA