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 볼린저 밴드 돌파 (CAGR 12.6%, MDD -24.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.1%, drawdown -89.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.2%, MDD -63.0%, Sharpe 0.61, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 22.3%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 12.6%, MDD -24.4%, exposure 4%).
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=19, slow=40 |
20.2% | -63.0% | 0.61 | 0.32 | 4.6x | 43 | 57% |
| 볼린저 밴드 돌파 n=13, k=2.9 |
12.6% | -24.4% | 0.58 | 0.52 | 2.7x | 14 | 4% |
| Supertrend period=24, mult=4.9 |
13.2% | -70.0% | 0.49 | 0.19 | 2.8x | 19 | 53% |
| ROC 모멘텀 n=29, threshold=-0.04 |
12.4% | -85.8% | 0.48 | 0.14 | 2.7x | 133 | 68% |
| Donchian 채널 돌파 entryN=24, exitN=27 |
10.6% | -82.2% | 0.44 | 0.13 | 2.3x | 25 | 59% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=11, mult=3.7 |
6.6% | -24.4% | 0.41 | 0.27 | 1.7x | 4 | 2% |
| ADX / DI 방향성 period=38, threshold=16 |
8.8% | -47.3% | 0.41 | 0.19 | 2.0x | 18 | 24% |
| EMA 크로스오버 fast=16, slow=28 |
3.8% | -78.8% | 0.31 | 0.05 | 1.4x | 51 | 57% |
| MACD fast=15, slow=26, signal=13 |
-5.4% | -90.3% | 0.14 | -0.06 | 0.6x | 154 | 51% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-12.0% | -91.7% | -0.02 | -0.13 | 0.3x | 140 | 52% |
| Buy and hold | -2.1% | -89.7% | 0.30 | -0.02 | 0.8x | 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 19-day average price crosses above the 40-day average
- Sell — Sell (to cash) when the 19-day average falls below the 40-day average