Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Saudi Arabian Oil Co. backtest
10 trend-following strategies were compared on the full daily history of Saudi Arabian Oil Co.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.8%, MDD -13.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.5%, drawdown -40.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.8%, MDD -13.5%, Sharpe 0.35, 28% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.5%, MDD -21.3%, exposure 66%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 26.6%p (CAGR 2.8%, MDD -13.5%, exposure 28%).
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=49, k=2.1 |
2.8% | -13.5% | 0.35 | 0.21 | 1.2x | 18 | 28% |
| Donchian 채널 돌파 entryN=32, exitN=78 |
3.5% | -21.3% | 0.35 | 0.17 | 1.3x | 9 | 66% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=12, mult=1.2 |
2.6% | -15.0% | 0.30 | 0.17 | 1.2x | 28 | 38% |
| SMA 크로스오버 fast=18, slow=99 |
2.3% | -15.6% | 0.27 | 0.15 | 1.2x | 18 | 44% |
| EMA 크로스오버 fast=6, slow=79 |
1.6% | -16.7% | 0.21 | 0.10 | 1.1x | 28 | 44% |
| ROC 모멘텀 n=99, threshold=-0.02 |
1.4% | -26.1% | 0.18 | 0.05 | 1.1x | 41 | 57% |
| ADX / DI 방향성 period=30, threshold=24 |
-0.3% | -14.2% | -0.02 | -0.02 | 1.0x | 10 | 8% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-2.4% | -41.4% | -0.15 | -0.06 | 0.9x | 45 | 51% |
| Supertrend period=23, mult=4.1 |
-4.1% | -36.0% | -0.28 | -0.11 | 0.8x | 34 | 52% |
| MACD fast=25, slow=51, signal=13 |
-3.9% | -50.9% | -0.29 | -0.08 | 0.8x | 67 | 47% |
| Buy and hold | -1.5% | -40.1% | -0.01 | -0.04 | 0.9x | 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 49-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 49-day middle average