Trend-Following Backtester · Guide · backtest 한국어
equity · US
T1 Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of T1 Energy Inc.. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 16.9%, MDD -48.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.3%, drawdown -94.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 22.4%, MDD -63.1%, Sharpe 0.61, 44% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 34.7%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 16.9%, MDD -48.4%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.34 |
22.4% | -63.1% | 0.61 | 0.35 | 3.8x | 76 | 44% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=15, mult=1.4 |
18.6% | -53.2% | 0.57 | 0.35 | 3.1x | 50 | 23% |
| ROC 모멘텀 n=41, threshold=0.2 |
16.9% | -48.4% | 0.55 | 0.35 | 2.8x | 62 | 20% |
| Supertrend period=20, mult=2.3 |
14.9% | -70.4% | 0.52 | 0.21 | 2.5x | 64 | 43% |
| 볼린저 밴드 돌파 n=20, k=1.8 |
13.6% | -62.1% | 0.49 | 0.22 | 2.3x | 58 | 29% |
| ADX / DI 방향성 period=7, threshold=11 |
9.6% | -82.1% | 0.46 | 0.12 | 1.8x | 202 | 51% |
| MACD fast=6, slow=58, signal=11 |
4.4% | -84.0% | 0.40 | 0.05 | 1.3x | 130 | 53% |
| Donchian 채널 돌파 entryN=12, exitN=51 |
0.6% | -84.0% | 0.39 | 0.01 | 1.0x | 26 | 72% |
| SMA 크로스오버 fast=12, slow=207 |
1.1% | -75.4% | 0.31 | 0.01 | 1.1x | 14 | 35% |
| EMA 크로스오버 fast=27, slow=157 |
-1.2% | -74.7% | 0.27 | -0.02 | 0.9x | 12 | 38% |
| Buy and hold | -12.3% | -94.1% | 0.29 | -0.13 | 0.4x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots