Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Petronet Lng Limited backtest
10 trend-following strategies were compared on the full daily history of Petronet Lng Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.7%, drawdown -74.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.3%, MDD -56.4%, Sharpe 0.54, 70% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=44, exitN=76 |
12.3% | -56.4% | 0.54 | 0.22 | 13.4x | 35 | 70% |
| Supertrend period=13, mult=5 |
11.6% | -66.5% | 0.54 | 0.17 | 11.6x | 42 | 61% |
| EMA 크로스오버 fast=49, slow=97 |
11.2% | -62.7% | 0.52 | 0.18 | 10.6x | 42 | 60% |
| SMA 크로스오버 fast=23, slow=107 |
10.5% | -53.3% | 0.50 | 0.20 | 9.4x | 67 | 58% |
| ROC 모멘텀 n=162, threshold=0.02 |
9.9% | -54.3% | 0.49 | 0.18 | 8.3x | 148 | 56% |
| 볼린저 밴드 돌파 n=47, k=3.4 |
5.5% | -20.8% | 0.43 | 0.26 | 3.3x | 22 | 10% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=25, mult=3.6 |
5.2% | -32.4% | 0.38 | 0.16 | 3.1x | 40 | 16% |
| Parabolic SAR step=0.005, maxStep=0.16 |
5.3% | -77.4% | 0.33 | 0.07 | 3.2x | 181 | 54% |
| ADX / DI 방향성 period=37, threshold=20 |
3.4% | -28.8% | 0.31 | 0.12 | 2.1x | 28 | 13% |
| MACD fast=16, slow=27, signal=21 |
0.2% | -81.4% | 0.13 | 0.00 | 1.0x | 288 | 49% |
| Buy and hold | 17.7% | -74.6% | 0.64 | 0.24 | 38.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 44 days
- Sell — Sell when price breaks below the lowest low of the last 76 days