Trend-Following Backtester · Guide · backtest 한국어
equity · US
Helix Energy Solutions Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Helix Energy Solutions Group, Inc.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 2.2%, drawdown -97.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.1%, MDD -87.7%, Sharpe 0.38, 77% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=20, exitN=72 |
7.1% | -87.7% | 0.38 | 0.08 | 7.3x | 75 | 77% |
| MACD fast=11, slow=53, signal=16 |
5.5% | -81.0% | 0.34 | 0.07 | 4.7x | 377 | 50% |
| SMA 크로스오버 fast=17, slow=55 |
1.5% | -71.7% | 0.23 | 0.02 | 1.5x | 159 | 55% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.2% | -87.9% | 0.22 | 0.01 | 1.4x | 516 | 51% |
| Supertrend period=24, mult=3.6 |
1.1% | -71.3% | 0.21 | 0.01 | 1.4x | 169 | 50% |
| EMA 크로스오버 fast=9, slow=38 |
-0.9% | -77.1% | 0.16 | -0.01 | 0.8x | 251 | 55% |
| 볼린저 밴드 돌파 n=24, k=1.7 |
0.1% | -65.3% | 0.16 | 0.00 | 1.0x | 288 | 36% |
| ADX / DI 방향성 period=15, threshold=8 |
-2.1% | -86.7% | 0.14 | -0.02 | 0.5x | 636 | 53% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=31, mult=1.8 |
-1.4% | -75.9% | 0.09 | -0.02 | 0.7x | 230 | 30% |
| ROC 모멘텀 n=86, threshold=0.05 |
-3.8% | -81.7% | 0.06 | -0.05 | 0.3x | 358 | 50% |
| Buy and hold | 2.2% | -97.9% | 0.34 | 0.02 | 1.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 20 days
- Sell — Sell when price breaks below the lowest low of the last 72 days