Trend-Following Backtester · Guide · backtest 한국어
equity · US
HighPeak Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of HighPeak Energy, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.1%, MDD -27.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.7%, drawdown -89.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.5%, MDD -61.3%, Sharpe 0.58, 56% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.2%p higher than buy and hold, while drawdown improves by 28.4%p (CAGR 6.1%, MDD -27.9%, exposure 5%).
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=18, slow=42 |
18.5% | -61.3% | 0.58 | 0.30 | 4.0x | 36 | 56% |
| 볼린저 밴드 돌파 n=31, k=3.3 |
11.5% | -29.5% | 0.52 | 0.39 | 2.4x | 16 | 10% |
| Supertrend period=24, mult=5 |
11.1% | -71.3% | 0.45 | 0.16 | 2.4x | 19 | 52% |
| ADX / DI 방향성 period=36, threshold=17 |
8.8% | -41.3% | 0.41 | 0.21 | 2.0x | 18 | 23% |
| Donchian 채널 돌파 entryN=23, exitN=31 |
8.1% | -84.8% | 0.40 | 0.10 | 1.9x | 27 | 63% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=24, mult=3.6 |
6.1% | -27.9% | 0.36 | 0.22 | 1.6x | 12 | 5% |
| ROC 모멘텀 n=34, threshold=-0.04 |
4.6% | -84.6% | 0.33 | 0.05 | 1.4x | 96 | 65% |
| EMA 크로스오버 fast=17, slow=28 |
3.8% | -72.9% | 0.30 | 0.05 | 1.4x | 44 | 57% |
| MACD fast=14, slow=42, signal=23 |
-7.4% | -90.2% | 0.09 | -0.08 | 0.5x | 130 | 49% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-12.0% | -90.8% | -0.02 | -0.13 | 0.4x | 138 | 51% |
| Buy and hold | -3.7% | -89.7% | 0.28 | -0.04 | 0.7x | 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 18-day average price crosses above the 42-day average
- Sell — Sell (to cash) when the 18-day average falls below the 42-day average