Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Meridian Energy Limited backtest
10 trend-following strategies were compared on the full daily history of Meridian Energy Limited. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.9%, MDD -39.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -53.8%).
Sharpe leader (same as main): Supertrend — CAGR 8.9%, MDD -39.6%, Sharpe 0.52, 57% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.9%, MDD -52.4%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Supertrend — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 14.3%p (CAGR 8.9%, MDD -39.6%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=4.9 |
8.9% | -39.6% | 0.52 | 0.22 | 3.0x | 23 | 57% |
| ROC 모멘텀 Hold-like · Exposure 97% n=37, threshold=-0.15 |
9.9% | -52.4% | 0.49 | 0.19 | 3.3x | 21 | 97% |
| Donchian 채널 돌파 entryN=43, exitN=124 |
9.1% | -53.7% | 0.47 | 0.17 | 3.0x | 9 | 87% |
| SMA 크로스오버 fast=18, slow=132 |
5.9% | -45.5% | 0.38 | 0.13 | 2.1x | 36 | 60% |
| EMA 크로스오버 fast=27, slow=74 |
4.6% | -50.0% | 0.32 | 0.09 | 1.8x | 36 | 62% |
| ADX / DI 방향성 period=29, threshold=23 |
2.7% | -30.9% | 0.31 | 0.09 | 1.4x | 12 | 8% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=20, mult=4 |
1.9% | -40.4% | 0.21 | 0.05 | 1.3x | 20 | 18% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.2% | -55.3% | 0.11 | 0.00 | 1.0x | 100 | 61% |
| 볼린저 밴드 돌파 n=38, k=2.7 |
-0.7% | -39.9% | 0.01 | -0.02 | 0.9x | 34 | 18% |
| MACD fast=19, slow=53, signal=18 |
-6.1% | -65.2% | -0.22 | -0.09 | 0.5x | 154 | 53% |
| Buy and hold | 10.5% | -53.8% | 0.51 | 0.20 | 3.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)