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; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.4%, drawdown -47.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.3%, MDD -19.3%, Sharpe 0.19, 17% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.7%, MDD -31.9%, exposure 54%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=45, k=2.8 |
1.3% | -19.3% | 0.19 | 0.07 | 1.2x | 24 | 17% |
| SMA 크로스오버 fast=57, slow=163 |
1.7% | -31.9% | 0.19 | 0.05 | 1.2x | 23 | 54% |
| Donchian 채널 돌파 entryN=13, exitN=69 |
1.5% | -43.6% | 0.17 | 0.03 | 1.2x | 41 | 77% |
| EMA 크로스오버 fast=43, slow=267 |
0.6% | -27.0% | 0.11 | 0.02 | 1.1x | 15 | 49% |
| Supertrend period=16, mult=4.9 |
0.2% | -40.8% | 0.09 | 0.00 | 1.0x | 35 | 52% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=14, mult=4 |
-0.6% | -29.3% | -0.01 | -0.02 | 0.9x | 25 | 23% |
| ADX / DI 방향성 period=14, threshold=37 |
-0.4% | -10.3% | -0.05 | -0.04 | 1.0x | 20 | 4% |
| MACD fast=17, slow=63, signal=20 |
-4.1% | -54.5% | -0.21 | -0.08 | 0.6x | 118 | 50% |
| ROC 모멘텀 n=138, threshold=-0.04 |
-4.9% | -62.0% | -0.21 | -0.08 | 0.5x | 137 | 63% |
| Parabolic SAR step=0.02, maxStep=0.3 |
-7.7% | -70.6% | -0.45 | -0.11 | 0.4x | 239 | 50% |
| Buy and hold | 3.4% | -47.4% | 0.26 | 0.07 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 45-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 45-day middle average