Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gran Tierra Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of Gran Tierra Energy Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.6%, MDD -45.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.0%, drawdown -98.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.4%, MDD -61.3%, Sharpe 0.51, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.5%p higher than buy and hold, while drawdown improves by 36.8%p (CAGR 5.6%, MDD -45.2%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=20, slow=226 |
13.4% | -61.3% | 0.51 | 0.22 | 13.4x | 25 | 45% |
| EMA 크로스오버 fast=41, slow=111 |
12.0% | -58.5% | 0.49 | 0.21 | 10.4x | 26 | 43% |
| Donchian 채널 돌파 entryN=105, exitN=72 |
9.8% | -65.1% | 0.44 | 0.15 | 6.9x | 22 | 40% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=13, mult=3.5 |
8.4% | -50.1% | 0.43 | 0.17 | 5.3x | 30 | 11% |
| ROC 모멘텀 n=134, threshold=-0.09 |
8.7% | -69.6% | 0.41 | 0.12 | 5.6x | 141 | 52% |
| ADX / DI 방향성 period=37, threshold=23 |
5.6% | -45.2% | 0.37 | 0.12 | 3.1x | 14 | 6% |
| 볼린저 밴드 돌파 n=51, k=1.7 |
5.9% | -76.7% | 0.34 | 0.08 | 3.3x | 100 | 33% |
| Supertrend period=9, mult=3.4 |
4.7% | -85.7% | 0.32 | 0.05 | 2.6x | 103 | 48% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-9.0% | -97.8% | 0.03 | -0.09 | 0.1x | 414 | 50% |
| MACD fast=15, slow=62, signal=12 |
-12.0% | -98.8% | 0.01 | -0.12 | 0.1x | 297 | 53% |
| Buy and hold | -6.0% | -98.1% | 0.26 | -0.06 | 0.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 20-day average price crosses above the 226-day average
- Sell — Sell (to cash) when the 20-day average falls below the 226-day average