Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kosmos Energy Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kosmos Energy Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.8%, MDD -52.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.4%, drawdown -97.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.5%, MDD -62.3%, Sharpe 0.33, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.9%p higher than buy and hold, while drawdown improves by 35.0%p (CAGR 3.8%, MDD -52.7%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=30, k=2.8 |
5.5% | -62.3% | 0.33 | 0.09 | 2.3x | 34 | 10% |
| ADX / DI 방향성 period=23, threshold=21 |
3.8% | -52.7% | 0.27 | 0.07 | 1.8x | 44 | 11% |
| Supertrend period=10, mult=3.4 |
1.7% | -81.5% | 0.25 | 0.02 | 1.3x | 81 | 48% |
| MACD fast=16, slow=51, signal=15 |
1.1% | -89.6% | 0.25 | 0.01 | 1.2x | 183 | 51% |
| Donchian 채널 돌파 entryN=28, exitN=18 |
-1.6% | -83.2% | 0.16 | -0.02 | 0.8x | 71 | 40% |
| EMA 크로스오버 fast=18, slow=21 |
-3.6% | -90.2% | 0.13 | -0.04 | 0.6x | 125 | 47% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-4.7% | -89.9% | 0.11 | -0.05 | 0.5x | 198 | 50% |
| SMA 크로스오버 fast=48, slow=213 |
-2.9% | -75.0% | 0.11 | -0.04 | 0.6x | 25 | 39% |
| ROC 모멘텀 n=40, threshold=0.05 |
-4.5% | -85.9% | 0.08 | -0.05 | 0.5x | 249 | 34% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=20, mult=2.3 |
-4.1% | -73.6% | 0.05 | -0.06 | 0.5x | 57 | 27% |
| Buy and hold | -11.4% | -97.2% | 0.17 | -0.12 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 30-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 30-day middle average