Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Saturn Oil & Gas Inc. backtest
10 trend-following strategies were compared on the full daily history of Saturn Oil & Gas Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 4.1%, drawdown -93.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.9%, MDD -85.5%, Sharpe 0.42, 49% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 5.3%, MDD -85.2%, exposure 8%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=82 |
3.9% | -85.5% | 0.42 | 0.05 | 2.3x | 78 | 49% |
| MACD fast=37, slow=74, signal=37 |
-5.4% | -98.3% | 0.32 | -0.06 | 0.3x | 134 | 51% |
| Donchian 채널 돌파 entryN=31, exitN=103 |
-12.2% | -99.1% | 0.31 | -0.12 | 0.1x | 59 | 75% |
| ADX / DI 방향성 period=24, threshold=27 |
5.3% | -85.2% | 0.31 | 0.06 | 3.1x | 40 | 8% |
| EMA 크로스오버 fast=37, slow=185 |
-6.8% | -93.5% | 0.22 | -0.07 | 0.2x | 39 | 42% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-13.9% | -98.6% | 0.16 | -0.14 | 0.0x | 192 | 45% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=16, mult=3 |
-11.4% | -96.8% | 0.07 | -0.12 | 0.1x | 80 | 23% |
| Supertrend period=8, mult=4.4 |
-25.8% | -99.9% | 0.05 | -0.26 | 0.0x | 128 | 57% |
| ROC 모멘텀 n=129, threshold=-0.04 |
-25.0% | -100.0% | 0.01 | -0.25 | 0.0x | 285 | 51% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
-16.5% | -99.1% | -0.02 | -0.17 | 0.0x | 98 | 26% |
| Buy and hold | 4.1% | -93.7% | 0.57 | 0.04 | 2.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 82-day average
- Sell — Sell (to cash) when the 50-day average falls below the 82-day average