Trend-Following Backtester · Guide · backtest 한국어
equity · US
Diamondback Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of Diamondback Energy, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.1%, MDD -66.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 19.2%, drawdown -88.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.1%, MDD -66.2%, Sharpe 0.67, 85% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 20.1%, MDD -66.2%, exposure 85%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=9, exitN=54 |
20.1% | -66.2% | 0.67 | 0.30 | 12.6x | 45 | 85% |
| Supertrend period=9, mult=4.4 |
15.9% | -54.4% | 0.63 | 0.29 | 7.7x | 47 | 61% |
| EMA 크로스오버 fast=55, slow=132 |
15.3% | -50.2% | 0.62 | 0.30 | 7.2x | 19 | 61% |
| SMA 크로스오버 fast=52, slow=63 |
14.6% | -50.9% | 0.60 | 0.29 | 6.6x | 84 | 59% |
| ADX / DI 방향성 period=22, threshold=17 |
9.1% | -42.0% | 0.49 | 0.22 | 3.3x | 86 | 27% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
5.4% | -15.5% | 0.48 | 0.35 | 2.1x | 6 | 6% |
| Parabolic SAR step=0.01, maxStep=0.26 |
7.0% | -58.0% | 0.37 | 0.12 | 2.6x | 195 | 53% |
| ROC 모멘텀 n=90, threshold=-0.01 |
6.9% | -64.5% | 0.37 | 0.11 | 2.5x | 143 | 61% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=18, mult=2.6 |
5.3% | -47.9% | 0.34 | 0.11 | 2.0x | 54 | 30% |
| MACD fast=8, slow=30, signal=14 |
4.9% | -60.7% | 0.31 | 0.08 | 1.9x | 258 | 50% |
| Buy and hold | 19.2% | -88.9% | 0.62 | 0.22 | 11.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 9 days
- Sell — Sell when price breaks below the lowest low of the last 54 days