Trend-Following Backtester · Guide · backtest 한국어
equity · US
CVR Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of CVR Energy Inc.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.5%, MDD -17.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.9%, drawdown -92.4%).
Sharpe leader (same as main): Supertrend — CAGR 19.6%, MDD -67.4%, Sharpe 0.66, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.7%p higher than buy and hold, while drawdown improves by 25.0%p (CAGR 3.5%, MDD -17.9%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=2.5 |
19.6% | -67.4% | 0.66 | 0.29 | 29.2x | 153 | 50% |
| 볼린저 밴드 돌파 n=14, k=3.1 |
3.5% | -17.9% | 0.56 | 0.20 | 1.9x | 8 | 3% |
| EMA 크로스오버 fast=7, slow=21 |
14.8% | -74.7% | 0.56 | 0.20 | 13.6x | 209 | 53% |
| ADX / DI 방향성 period=19, threshold=15 |
13.0% | -62.2% | 0.54 | 0.21 | 10.0x | 217 | 37% |
| ROC 모멘텀 n=121, threshold=0.1 |
12.4% | -48.1% | 0.53 | 0.26 | 9.1x | 133 | 41% |
| SMA 크로스오버 fast=10, slow=25 |
12.6% | -78.2% | 0.50 | 0.16 | 9.4x | 191 | 52% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=10, mult=1.8 |
10.2% | -54.9% | 0.50 | 0.19 | 6.2x | 139 | 28% |
| Donchian 채널 돌파 entryN=21, exitN=10 |
9.3% | -56.9% | 0.44 | 0.16 | 5.4x | 141 | 40% |
| MACD fast=10, slow=40, signal=14 |
9.4% | -75.4% | 0.42 | 0.12 | 5.4x | 295 | 54% |
| Parabolic SAR step=0.02, maxStep=0.12 |
8.8% | -67.7% | 0.41 | 0.13 | 4.9x | 385 | 52% |
| Buy and hold | 3.9% | -92.4% | 0.36 | 0.04 | 2.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 2.5× band
- Sell — Sell when price drops below the trend line (flips down)