Trend-Following Backtester · Guide · backtest 한국어
equity · US
PrimeEnergy Resources Corporation backtest
10 trend-following strategies were compared on the full daily history of PrimeEnergy Resources Corporation. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.8%, MDD -72.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.6%, drawdown -98.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.8%, MDD -72.9%, Sharpe 0.36, 55% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.0%, MDD -73.6%, exposure 40%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 6.8%, MDD -72.9%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=67, slow=183 |
6.8% | -72.9% | 0.36 | 0.09 | 21.1x | 45 | 55% |
| Donchian 채널 돌파 entryN=114, exitN=61 |
7.0% | -73.6% | 0.36 | 0.09 | 22.7x | 66 | 40% |
| SMA 크로스오버 fast=48, slow=173 |
5.7% | -75.4% | 0.34 | 0.08 | 12.8x | 68 | 51% |
| ROC 모멘텀 n=126, threshold=-0.02 |
0.2% | -83.2% | 0.22 | 0.00 | 1.1x | 435 | 57% |
| ADX / DI 방향성 period=39, threshold=19 |
-0.6% | -94.5% | 0.18 | -0.01 | 0.8x | 82 | 39% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-5.1% | -99.1% | 0.07 | -0.05 | 0.1x | 665 | 51% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=8, mult=4 |
-2.6% | -89.9% | 0.07 | -0.03 | 0.3x | 166 | 25% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
-3.4% | -88.2% | 0.01 | -0.04 | 0.2x | 92 | 14% |
| Supertrend period=26, mult=4.6 |
-10.7% | -99.8% | -0.10 | -0.11 | 0.0x | 270 | 44% |
| MACD fast=16, slow=42, signal=19 |
-13.2% | -99.9% | -0.11 | -0.13 | 0.0x | 603 | 49% |
| Buy and hold | 6.6% | -98.2% | 0.40 | 0.07 | 19.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 67-day EMA crosses above the 183-day EMA
- Sell — Sell when the 67-day EMA falls below the 183-day EMA