Trend-Following Backtester · Guide · backtest 한국어
equity · NO
BW Energy Ltd. backtest
10 trend-following strategies were compared on the full daily history of BW Energy Ltd.. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.1%, MDD -42.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.9%, drawdown -68.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 27.1%, MDD -44.9%, Sharpe 0.77, 91% exposure.
Return/drawdown alternative: Supertrend — CAGR is 13.2%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 19.1%, MDD -42.5%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=8, threshold=-0.1 |
27.1% | -44.9% | 0.77 | 0.60 | 4.9x | 73 | 91% |
| Donchian 채널 돌파 entryN=4, exitN=88 |
26.3% | -46.8% | 0.74 | 0.56 | 4.7x | 15 | 92% |
| Supertrend period=22, mult=4.1 |
19.1% | -42.5% | 0.66 | 0.45 | 3.2x | 24 | 52% |
| SMA 크로스오버 fast=56, slow=173 |
8.2% | -65.0% | 0.40 | 0.13 | 1.7x | 13 | 62% |
| MACD fast=12, slow=23, signal=17 |
8.2% | -52.4% | 0.40 | 0.16 | 1.7x | 109 | 51% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=21, mult=2.9 |
1.2% | -5.2% | 0.30 | 0.24 | 1.1x | 2 | 1% |
| ADX / DI 방향성 period=29, threshold=24 |
2.8% | -23.7% | 0.29 | 0.12 | 1.2x | 6 | 2% |
| EMA 크로스오버 fast=58, slow=186 |
3.3% | -65.9% | 0.27 | 0.05 | 1.2x | 13 | 66% |
| Parabolic SAR step=0.015, maxStep=0.14 |
1.1% | -66.0% | 0.21 | 0.02 | 1.1x | 126 | 53% |
| 볼린저 밴드 돌파 n=14, k=3.1 |
0.6% | -4.8% | 0.17 | 0.12 | 1.0x | 2 | 1% |
| Buy and hold | 13.9% | -68.2% | 0.52 | 0.20 | 2.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 8-day return is greater than -10%
- Sell — Sell when the 8-day return drops to -10% or below