Trend-Following Backtester · Guide · backtest 한국어
equity · US
Genie Energy Ltd. backtest
10 trend-following strategies were compared on the full daily history of Genie Energy Ltd.. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.4%, MDD -49.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.3%, drawdown -77.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.4%, MDD -51.2%, Sharpe 0.46, 16% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 7.4%, MDD -49.0%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=8, mult=2.5 |
8.4% | -51.2% | 0.46 | 0.16 | 3.3x | 50 | 16% |
| Donchian 채널 돌파 entryN=105, exitN=51 |
7.4% | -49.0% | 0.39 | 0.15 | 2.9x | 18 | 37% |
| Supertrend period=26, mult=5 |
7.4% | -58.2% | 0.38 | 0.13 | 2.9x | 36 | 46% |
| SMA 크로스오버 fast=24, slow=200 |
6.9% | -62.6% | 0.37 | 0.11 | 2.7x | 21 | 42% |
| EMA 크로스오버 fast=30, slow=153 |
5.4% | -68.6% | 0.33 | 0.08 | 2.2x | 22 | 42% |
| ROC 모멘텀 n=142, threshold=-0.04 |
3.9% | -67.5% | 0.29 | 0.06 | 1.8x | 99 | 53% |
| 볼린저 밴드 돌파 n=34, k=2.4 |
2.5% | -64.8% | 0.23 | 0.04 | 1.4x | 66 | 22% |
| MACD fast=16, slow=26, signal=9 |
2.0% | -80.1% | 0.23 | 0.02 | 1.3x | 250 | 50% |
| ADX / DI 방향성 period=8, threshold=17 |
0.8% | -77.3% | 0.19 | 0.01 | 1.1x | 391 | 44% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-5.4% | -91.2% | 0.01 | -0.06 | 0.4x | 373 | 48% |
| Buy and hold | 3.3% | -77.9% | 0.31 | 0.04 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 24-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 24-day average