Trend-Following Backtester · Guide · backtest 한국어
equity · US
Clean Energy Fuels Corp. backtest
10 trend-following strategies were compared on the full daily history of Clean Energy Fuels Corp.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.3%, MDD -35.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.1%, drawdown -95.5%).
Sharpe leader (same as main): MACD — CAGR 11.3%, MDD -86.3%, Sharpe 0.45, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 9.2%p (CAGR 8.3%, MDD -35.2%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=9, slow=52, signal=24 |
11.3% | -86.3% | 0.45 | 0.13 | 7.8x | 208 | 54% |
| 볼린저 밴드 돌파 n=27, k=3.3 |
9.3% | -51.1% | 0.45 | 0.18 | 5.5x | 38 | 10% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=15, mult=3.7 |
8.3% | -35.2% | 0.45 | 0.24 | 4.6x | 26 | 7% |
| Donchian 채널 돌파 entryN=105, exitN=4 |
8.2% | -38.0% | 0.44 | 0.22 | 4.5x | 48 | 8% |
| ADX / DI 방향성 period=25, threshold=33 |
5.5% | -37.9% | 0.36 | 0.15 | 2.8x | 10 | 3% |
| SMA 크로스오버 fast=5, slow=24 |
0.7% | -85.3% | 0.24 | 0.01 | 1.1x | 252 | 47% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-1.7% | -88.2% | 0.19 | -0.02 | 0.7x | 314 | 47% |
| Supertrend period=13, mult=3.6 |
-2.3% | -83.5% | 0.17 | -0.03 | 0.6x | 94 | 44% |
| ROC 모멘텀 n=81, threshold=0.11 |
-0.6% | -88.5% | 0.17 | -0.01 | 0.9x | 162 | 29% |
| EMA 크로스오버 fast=11, slow=42 |
-7.0% | -89.5% | 0.05 | -0.08 | 0.2x | 140 | 41% |
| Buy and hold | -9.1% | -95.5% | 0.20 | -0.10 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (9/52) crosses above its 24-day signal line
- Sell — Sell when the MACD line crosses back below the signal line