Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hallador Energy Company backtest
10 trend-following strategies were compared on the full daily history of Hallador Energy Company. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.5%, drawdown -95.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.0%, MDD -94.4%, Sharpe 0.52, 95% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=4, exitN=182 |
7.0% | -94.4% | 0.52 | 0.07 | 9.0x | 106 | 95% |
| SMA 크로스오버 fast=56, slow=61 |
3.7% | -93.4% | 0.40 | 0.04 | 3.2x | 228 | 49% |
| MACD fast=5, slow=29, signal=6 |
-5.9% | -100.0% | 0.32 | -0.06 | 0.1x | 788 | 55% |
| EMA 크로스오버 fast=66, slow=191 |
0.9% | -88.6% | 0.31 | 0.01 | 1.3x | 44 | 49% |
| ROC 모멘텀 n=99, threshold=-0.07 |
-8.2% | -99.7% | 0.29 | -0.08 | 0.1x | 268 | 59% |
| ADX / DI 방향성 period=31, threshold=8 |
-15.6% | -99.9% | 0.16 | -0.16 | 0.0x | 298 | 46% |
| Parabolic SAR step=0.055, maxStep=0.24 |
-24.6% | -100.0% | 0.03 | -0.25 | 0.0x | 768 | 41% |
| Keltner 채널 돌파 emaPeriod=115, atrPeriod=5, mult=3.6 |
-18.5% | -100.0% | 0.01 | -0.19 | 0.0x | 100 | 33% |
| 볼린저 밴드 돌파 n=58, k=2.9 |
-15.1% | -99.9% | -0.00 | -0.15 | 0.0x | 80 | 21% |
| Supertrend period=13, mult=3.8 |
-26.7% | -100.0% | -0.07 | -0.27 | 0.0x | 188 | 44% |
| Buy and hold | 5.5% | -95.6% | 0.52 | 0.06 | 5.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 4 days
- Sell — Sell when price breaks below the lowest low of the last 182 days