Trend-Following Backtester · Guide · backtest 한국어
equity · US
VAALCO Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of VAALCO Energy, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.2%, MDD -32.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR -2.1%, drawdown -99.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -87.4%, Sharpe 0.48, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 11.7%p (CAGR 3.2%, MDD -32.4%, exposure 4%).
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=31, slow=39 |
10.0% | -87.4% | 0.48 | 0.11 | 24.9x | 321 | 48% |
| Donchian 채널 돌파 entryN=101, exitN=55 |
9.5% | -86.1% | 0.45 | 0.11 | 21.3x | 44 | 35% |
| EMA 크로스오버 fast=53, slow=199 |
6.0% | -82.2% | 0.38 | 0.07 | 7.2x | 39 | 44% |
| MACD fast=40, slow=55, signal=34 |
-7.5% | -99.4% | 0.34 | -0.08 | 0.1x | 201 | 52% |
| ADX / DI 방향성 period=29, threshold=27 |
3.2% | -32.4% | 0.29 | 0.10 | 2.9x | 22 | 4% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-5.2% | -99.3% | 0.25 | -0.05 | 0.2x | 226 | 43% |
| ROC 모멘텀 n=132, threshold=0.02 |
-5.1% | -94.1% | 0.23 | -0.05 | 0.2x | 308 | 46% |
| 볼린저 밴드 돌파 n=34, k=2.9 |
-0.0% | -95.3% | 0.22 | -0.00 | 1.0x | 90 | 15% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=23, mult=3.8 |
-5.8% | -98.0% | 0.11 | -0.06 | 0.1x | 88 | 20% |
| Supertrend period=22, mult=4.4 |
-30.2% | -100.0% | -0.13 | -0.30 | 0.0x | 183 | 45% |
| Buy and hold | -2.1% | -99.1% | 0.55 | -0.02 | 0.5x | 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 31-day average price crosses above the 39-day average
- Sell — Sell (to cash) when the 31-day average falls below the 39-day average