Trend-Following Backtester · Guide · backtest 한국어
equity · US
Energy Recovery, Inc. backtest
10 trend-following strategies were compared on the full daily history of Energy Recovery, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR -0.7%, drawdown -84.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.9%, MDD -68.2%, Sharpe 0.16, 45% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=48, slow=142 |
-0.9% | -68.2% | 0.16 | -0.01 | 0.8x | 34 | 45% |
| Supertrend period=9, mult=2.5 |
-3.9% | -79.7% | 0.15 | -0.05 | 0.5x | 150 | 51% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-5.6% | -84.8% | 0.11 | -0.07 | 0.4x | 144 | 49% |
| MACD fast=18, slow=30, signal=8 |
-6.4% | -87.2% | 0.11 | -0.07 | 0.3x | 306 | 53% |
| EMA 크로스오버 fast=51, slow=274 |
-3.4% | -82.7% | 0.09 | -0.04 | 0.5x | 24 | 43% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=26, mult=1.6 |
-5.2% | -81.2% | 0.07 | -0.06 | 0.4x | 136 | 25% |
| Donchian 채널 돌파 entryN=9, exitN=9 |
-8.4% | -85.5% | 0.07 | -0.10 | 0.2x | 198 | 49% |
| 볼린저 밴드 돌파 n=31, k=1.1 |
-7.4% | -84.4% | 0.06 | -0.09 | 0.2x | 174 | 39% |
| ROC 모멘텀 n=139, threshold=0.09 |
-6.7% | -78.8% | -0.04 | -0.08 | 0.3x | 160 | 35% |
| ADX / DI 방향성 period=26, threshold=20 |
-3.3% | -59.2% | -0.06 | -0.06 | 0.5x | 60 | 14% |
| Buy and hold | -0.7% | -84.0% | 0.28 | -0.01 | 0.9x | 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 48-day average price crosses above the 142-day average
- Sell — Sell (to cash) when the 48-day average falls below the 142-day average