Trend-Following Backtester · Guide · backtest 한국어
equity · US
Riley Exploration Permian, Inc. backtest
10 trend-following strategies were compared on the full daily history of Riley Exploration Permian, Inc.. 6 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
6 of 10 beat buy and hold (CAGR -10.9%, drawdown -99.7%).
Sharpe leader (same as main): Parabolic SAR — CAGR 2.5%, MDD -96.8%, Sharpe 0.36, 43% 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=0.08 |
2.5% | -96.8% | 0.36 | 0.03 | 2.0x | 267 | 43% |
| SMA 크로스오버 fast=45, slow=219 |
-0.9% | -91.5% | 0.28 | -0.01 | 0.8x | 41 | 37% |
| EMA 크로스오버 fast=53, slow=203 |
-1.5% | -93.4% | 0.26 | -0.02 | 0.7x | 37 | 33% |
| ADX / DI 방향성 period=13, threshold=28 |
-2.7% | -95.1% | 0.25 | -0.03 | 0.5x | 206 | 25% |
| MACD fast=18, slow=49, signal=21 |
-7.8% | -98.8% | 0.25 | -0.08 | 0.1x | 287 | 51% |
| Donchian 채널 돌파 entryN=117, exitN=75 |
-6.0% | -96.7% | 0.21 | -0.06 | 0.2x | 33 | 33% |
| Supertrend period=6, mult=4.2 |
-13.9% | -99.8% | 0.18 | -0.14 | 0.0x | 88 | 55% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=19, mult=2.3 |
-11.3% | -98.6% | 0.07 | -0.12 | 0.0x | 102 | 17% |
| ROC 모멘텀 n=100, threshold=0.09 |
-16.8% | -99.9% | 0.04 | -0.17 | 0.0x | 346 | 31% |
| 볼린저 밴드 돌파 n=34, k=2.9 |
-13.0% | -99.5% | 0.02 | -0.13 | 0.0x | 96 | 15% |
| Buy and hold | -10.9% | -99.7% | 0.34 | -0.11 | 0.0x | 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