Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Saudi Energy Co. backtest
10 trend-following strategies were compared on the full daily history of Saudi Energy Co.. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.0%, drawdown -57.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 1.7%, MDD -54.1%, Sharpe 0.19, 52% 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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.1 |
1.7% | -54.1% | 0.19 | 0.03 | 1.3x | 164 | 52% |
| Donchian 채널 돌파 entryN=41, exitN=37 |
1.0% | -51.6% | 0.15 | 0.02 | 1.2x | 51 | 53% |
| ADX / DI 방향성 period=33, threshold=15 |
0.9% | -35.3% | 0.14 | 0.03 | 1.2x | 95 | 40% |
| SMA 크로스오버 fast=11, slow=89 |
0.3% | -50.3% | 0.11 | 0.01 | 1.1x | 71 | 53% |
| ROC 모멘텀 n=72, threshold=-0.09 |
-0.9% | -64.0% | 0.06 | -0.01 | 0.9x | 113 | 80% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=23, mult=4 |
-0.3% | -37.8% | 0.05 | -0.01 | 0.9x | 37 | 31% |
| EMA 크로스오버 fast=58, slow=88 |
-0.9% | -47.7% | 0.04 | -0.02 | 0.9x | 37 | 49% |
| MACD fast=24, slow=25, signal=17 |
-0.9% | -50.6% | 0.03 | -0.02 | 0.9x | 168 | 50% |
| Supertrend period=20, mult=3.7 |
-1.0% | -45.3% | 0.03 | -0.02 | 0.9x | 97 | 55% |
| 볼린저 밴드 돌파 n=19, k=1.9 |
-1.8% | -56.7% | -0.06 | -0.03 | 0.7x | 160 | 31% |
| Buy and hold | 2.0% | -57.1% | 0.21 | 0.04 | 1.4x | 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