Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Aldrees Petroleum & Transport Services Co. backtest
10 trend-following strategies were compared on the full daily history of Aldrees Petroleum & Transport Services Co.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.6%, drawdown -72.4%).
Sharpe leader (same as main): Supertrend — CAGR 12.9%, MDD -67.2%, Sharpe 0.43, 56% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=4.8 |
12.9% | -67.2% | 0.43 | 0.19 | 7.4x | 55 | 56% |
| SMA 크로스오버 fast=12, slow=65 |
12.7% | -66.5% | 0.42 | 0.19 | 7.2x | 75 | 57% |
| EMA 크로스오버 fast=23, slow=63 |
11.1% | -73.3% | 0.40 | 0.15 | 5.6x | 59 | 59% |
| ADX / DI 방향성 period=21, threshold=12 |
8.8% | -64.4% | 0.36 | 0.14 | 4.0x | 177 | 53% |
| 볼린저 밴드 돌파 n=55, k=1.2 |
7.3% | -86.1% | 0.35 | 0.09 | 3.2x | 69 | 43% |
| ROC 모멘텀 n=142, threshold=-0.04 |
7.5% | -77.5% | 0.35 | 0.10 | 3.3x | 133 | 74% |
| Parabolic SAR step=0.005, maxStep=0.36 |
7.9% | -66.9% | 0.35 | 0.12 | 3.5x | 101 | 57% |
| Donchian 채널 돌파 entryN=25, exitN=40 |
6.2% | -70.3% | 0.33 | 0.09 | 2.7x | 69 | 66% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=29, mult=2.4 |
3.8% | -88.3% | 0.28 | 0.04 | 1.9x | 60 | 43% |
| MACD fast=9, slow=55, signal=17 |
-0.0% | -86.3% | 0.20 | -0.00 | 1.0x | 215 | 47% |
| Buy and hold | 16.6% | -72.4% | 0.49 | 0.23 | 12.5x | 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) — 18-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)