Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Genesis Energy Limited backtest
10 trend-following strategies were compared on the full daily history of Genesis Energy 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 3.1%, drawdown -47.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.3%, MDD -25.2%, Sharpe 0.23, 50% 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=30, exitN=32 |
2.3% | -25.2% | 0.23 | 0.09 | 1.3x | 48 | 50% |
| SMA 크로스오버 fast=57, slow=170 |
1.5% | -29.0% | 0.17 | 0.05 | 1.2x | 21 | 55% |
| Supertrend period=13, mult=5 |
0.4% | -40.4% | 0.11 | 0.01 | 1.1x | 34 | 58% |
| 볼린저 밴드 돌파 n=45, k=2.8 |
0.5% | -21.8% | 0.10 | 0.02 | 1.1x | 28 | 17% |
| EMA 크로스오버 fast=43, slow=270 |
0.3% | -27.0% | 0.09 | 0.01 | 1.0x | 15 | 50% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=7, mult=3.6 |
-0.3% | -27.9% | 0.03 | -0.01 | 1.0x | 30 | 27% |
| ADX / DI 방향성 period=31, threshold=19 |
-0.3% | -21.1% | 0.00 | -0.02 | 1.0x | 38 | 14% |
| ROC 모멘텀 n=135, threshold=0.11 |
-0.8% | -27.1% | -0.02 | -0.03 | 0.9x | 65 | 22% |
| MACD fast=17, slow=59, signal=18 |
-5.0% | -57.9% | -0.27 | -0.09 | 0.5x | 128 | 50% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-7.8% | -71.1% | -0.45 | -0.11 | 0.4x | 242 | 50% |
| Buy and hold | 3.1% | -47.4% | 0.25 | 0.06 | 1.5x | 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 30 days
- Sell — Sell when price breaks below the lowest low of the last 32 days