Trend-Following Backtester · Guide · backtest 한국어

equity · NZ

Contact Energy Limited backtest

10 trend-following strategies were compared on the full daily history of Contact Energy Limited. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.

Data 2000-01-04 ~ 2026-07-30daily bars 6,720 (26.6 years)Costs 0.5%Venue NZXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 4.4%, drawdown -49.1%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.8%, MDD -56.7%, Sharpe 0.24, 86% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=153, threshold=-0.11
2.8%-56.7%0.240.052.1x10986%
MACD
fast=19, slow=53, signal=30
2.5%-28.5%0.240.091.9x21453%
Donchian 채널 돌파
entryN=100, exitN=112
2.4%-46.9%0.230.051.9x3162%
Supertrend
period=20, mult=4.9
1.4%-47.9%0.170.031.4x8457%
SMA 크로스오버
fast=24, slow=56
1.1%-56.5%0.150.021.3x12058%
볼린저 밴드 돌파
n=43, k=2.7
0.8%-29.2%0.130.031.2x7823%
Parabolic SAR
step=0.005, maxStep=0.3
0.5%-40.7%0.110.011.1x19653%
EMA 크로스오버
fast=26, slow=188
0.2%-59.5%0.090.001.0x6062%
Keltner 채널 돌파
emaPeriod=54, atrPeriod=11, mult=2.6
-0.6%-47.1%0.01-0.010.9x10831%
ADX / DI 방향성
period=36, threshold=25
-0.7%-36.1%-0.07-0.020.8x246%
Buy and hold4.4%-49.1%0.310.093.2x1100%
1x 2001 2005 2009 2013 2017 2021 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -14% -28% -43% -57% 2001 2005 2009 2013 2017 2021 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -56.7% (2007-07-25 → 2016-11-15), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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