Trend-Following Backtester · Guide · backtest 한국어
equity · FR
TotalEnergies SE backtest
10 trend-following strategies were compared on the full daily history of TotalEnergies SE. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.2%, drawdown -65.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.8%, MDD -10.5%, Sharpe 0.22, 3% 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=15, mult=3.2 |
0.8% | -10.5% | 0.22 | 0.08 | 1.3x | 16 | 3% |
| ADX / DI 방향성 period=38, threshold=23 |
0.4% | -9.8% | 0.17 | 0.04 | 1.1x | 4 | 1% |
| 볼린저 밴드 돌파 n=50, k=3.3 |
0.5% | -11.6% | 0.14 | 0.05 | 1.2x | 8 | 3% |
| EMA 크로스오버 fast=58, slow=129 |
0.4% | -62.5% | 0.10 | 0.01 | 1.1x | 47 | 57% |
| Supertrend period=14, mult=4.9 |
0.1% | -52.3% | 0.09 | 0.00 | 1.0x | 75 | 52% |
| Donchian 채널 돌파 entryN=36, exitN=65 |
-0.5% | -57.9% | 0.07 | -0.01 | 0.9x | 62 | 67% |
| SMA 크로스오버 fast=39, slow=189 |
-1.0% | -66.2% | 0.02 | -0.02 | 0.8x | 47 | 56% |
| ROC 모멘텀 n=167, threshold=0.04 |
-4.7% | -80.7% | -0.24 | -0.06 | 0.3x | 253 | 45% |
| MACD fast=19, slow=57, signal=18 |
-6.7% | -91.0% | -0.30 | -0.07 | 0.2x | 299 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-8.5% | -94.1% | -0.40 | -0.09 | 0.1x | 497 | 55% |
| Buy and hold | 3.2% | -65.4% | 0.25 | 0.05 | 2.3x | 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 19-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 19-day average