Trend-Following Backtester · Guide · backtest 한국어
equity · US
Diversified Energy Company backtest
10 trend-following strategies were compared on the full daily history of Diversified Energy Company. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 56.4%, MDD -39.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 51.0%, drawdown -56.9%).
Sharpe leader (same as main): MACD — CAGR 56.4%, MDD -39.5%, Sharpe 0.42, 46% exposure.
Return/drawdown alternative: MACD — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 56.4%, MDD -39.5%, exposure 46%).
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=13, slow=50, signal=23 |
56.4% | -39.5% | 0.42 | 1.43 | 12.6x | 51 | 46% |
| Donchian 채널 돌파 entryN=6, exitN=55 |
47.1% | -59.3% | 0.41 | 0.79 | 8.9x | 23 | 86% |
| Supertrend period=11, mult=3 |
54.3% | -50.5% | 0.41 | 1.08 | 11.6x | 35 | 41% |
| SMA 크로스오버 fast=9, slow=38 |
44.9% | -56.5% | 0.41 | 0.79 | 8.1x | 51 | 46% |
| ROC 모멘텀 n=23, threshold=0.03 |
6.9% | -85.2% | 0.37 | 0.08 | 1.5x | 177 | 34% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
0.7% | -21.8% | 0.12 | 0.03 | 1.0x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=15, mult=3.5 |
-2.5% | -21.8% | -0.18 | -0.11 | 0.9x | 4 | 2% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-14.1% | -72.1% | -0.27 | -0.20 | 0.4x | 67 | 50% |
| EMA 크로스오버 fast=9, slow=69 |
-13.8% | -66.8% | -0.29 | -0.21 | 0.4x | 31 | 46% |
| ADX / DI 방향성 period=36, threshold=15 |
-7.5% | -45.7% | -0.29 | -0.16 | 0.6x | 18 | 15% |
| Buy and hold | 51.0% | -56.9% | 0.42 | 0.90 | 10.3x | 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 (13/50) crosses above its 23-day signal line
- Sell — Sell when the MACD line crosses back below the signal line