Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ring Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ring Energy, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.0%, MDD -61.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.0%, drawdown -97.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -72.2%, Sharpe 0.44, 44% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 19.7%p higher than buy and hold, while drawdown improves by 25.5%p (CAGR 11.0%, MDD -61.1%, exposure 27%).
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=9, slow=35 |
12.7% | -72.2% | 0.44 | 0.18 | 10.0x | 151 | 44% |
| Parabolic SAR step=0.01, maxStep=0.12 |
8.3% | -77.3% | 0.40 | 0.11 | 4.7x | 189 | 48% |
| ROC 모멘텀 n=43, threshold=0.12 |
11.0% | -61.1% | 0.39 | 0.18 | 7.5x | 204 | 27% |
| 볼린저 밴드 돌파 n=38, k=1.7 |
6.9% | -73.7% | 0.36 | 0.09 | 3.7x | 86 | 35% |
| MACD fast=18, slow=52, signal=19 |
3.6% | -84.0% | 0.35 | 0.04 | 2.0x | 163 | 49% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=28, mult=1.6 |
4.0% | -80.9% | 0.31 | 0.05 | 2.1x | 102 | 33% |
| ADX / DI 방향성 period=30, threshold=12 |
2.3% | -81.1% | 0.30 | 0.03 | 1.5x | 144 | 44% |
| EMA 크로스오버 fast=59, slow=272 |
3.1% | -67.2% | 0.29 | 0.05 | 1.8x | 11 | 41% |
| Supertrend period=29, mult=4.9 |
-0.4% | -78.5% | 0.26 | -0.00 | 0.9x | 56 | 50% |
| Donchian 채널 돌파 entryN=79, exitN=63 |
-2.2% | -73.7% | 0.22 | -0.03 | 0.6x | 30 | 46% |
| Buy and hold | -7.0% | -97.7% | 0.31 | -0.07 | 0.2x | 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 9-day average price crosses above the 35-day average
- Sell — Sell (to cash) when the 9-day average falls below the 35-day average