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 2.4%, MDD -32.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR -2.3%, drawdown -99.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -90.7%, Sharpe 0.44, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 8.4%p (CAGR 2.4%, MDD -32.7%, 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=78, slow=165 |
8.2% | -90.7% | 0.44 | 0.09 | 14.2x | 51 | 50% |
| Donchian 채널 돌파 entryN=70, exitN=64 |
6.6% | -87.7% | 0.42 | 0.07 | 8.4x | 52 | 45% |
| EMA 크로스오버 fast=35, slow=169 |
4.0% | -87.6% | 0.36 | 0.05 | 3.8x | 61 | 46% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-5.4% | -99.3% | 0.25 | -0.05 | 0.2x | 224 | 43% |
| ADX / DI 방향성 period=32, threshold=26 |
2.4% | -32.7% | 0.24 | 0.07 | 2.2x | 24 | 4% |
| ROC 모멘텀 n=102, threshold=0.03 |
-8.0% | -98.9% | 0.20 | -0.08 | 0.1x | 420 | 45% |
| 볼린저 밴드 돌파 n=34, k=3.2 |
-0.3% | -97.0% | 0.19 | -0.00 | 0.9x | 64 | 12% |
| MACD fast=22, slow=34, signal=20 |
-20.1% | -100.0% | 0.14 | -0.20 | 0.0x | 375 | 51% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=22, mult=3.8 |
-5.5% | -97.1% | 0.05 | -0.06 | 0.2x | 82 | 13% |
| Supertrend period=22, mult=4.4 |
-30.2% | -100.0% | -0.13 | -0.30 | 0.0x | 182 | 44% |
| Buy and hold | -2.3% | -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 78-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 78-day average falls below the 165-day average