Trend-Following Backtester · Guide · backtest 한국어
equity · US
Solaris Energy Infrastructure, Inc. backtest
10 trend-following strategies were compared on the full daily history of Solaris Energy Infrastructure, Inc.. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.7%, MDD -48.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 17.2%, drawdown -80.6%).
Sharpe leader (same as main): Supertrend — CAGR 24.0%, MDD -59.1%, Sharpe 0.70, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 21.5%p (CAGR 18.7%, MDD -48.3%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=4.7 |
24.0% | -59.1% | 0.70 | 0.41 | 7.4x | 24 | 54% |
| 볼린저 밴드 돌파 n=12, k=3.1 |
6.5% | -15.0% | 0.61 | 0.43 | 1.8x | 4 | 2% |
| Donchian 채널 돌파 entryN=11, exitN=75 |
20.4% | -60.0% | 0.61 | 0.34 | 5.6x | 29 | 79% |
| EMA 크로스오버 fast=18, slow=35 |
18.7% | -48.3% | 0.61 | 0.39 | 4.9x | 42 | 54% |
| SMA 크로스오버 fast=11, slow=31 |
16.7% | -52.2% | 0.57 | 0.32 | 4.2x | 78 | 52% |
| ADX / DI 방향성 period=34, threshold=8 |
16.9% | -61.4% | 0.57 | 0.28 | 4.3x | 118 | 53% |
| ROC 모멘텀 n=56, threshold=-0.02 |
16.4% | -64.8% | 0.56 | 0.25 | 4.1x | 88 | 55% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=24, mult=4 |
5.8% | -15.0% | 0.55 | 0.39 | 1.7x | 4 | 2% |
| MACD fast=17, slow=53, signal=18 |
14.6% | -46.6% | 0.54 | 0.31 | 3.5x | 92 | 49% |
| Parabolic SAR step=0.005, maxStep=0.24 |
4.0% | -56.2% | 0.31 | 0.07 | 1.4x | 83 | 51% |
| Buy and hold | 17.2% | -80.6% | 0.57 | 0.21 | 4.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)