Trend-Following Backtester · Guide · backtest 한국어
equity · US
Patterson-UTI Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of Patterson-UTI Energy, Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.7%, MDD -40.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.3%, drawdown -95.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.0%, MDD -64.4%, Sharpe 0.56, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 7.7%, MDD -40.6%, exposure 8%).
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=27, slow=218 |
15.0% | -64.4% | 0.56 | 0.23 | 99.5x | 45 | 53% |
| EMA 크로스오버 fast=45, slow=62 |
14.4% | -75.1% | 0.54 | 0.19 | 81.9x | 71 | 55% |
| Supertrend period=9, mult=4.4 |
14.3% | -72.5% | 0.54 | 0.20 | 79.7x | 105 | 56% |
| Donchian 채널 돌파 entryN=119, exitN=47 |
12.8% | -65.9% | 0.54 | 0.19 | 52.1x | 48 | 41% |
| 볼린저 밴드 돌파 n=31, k=3.2 |
7.7% | -40.6% | 0.51 | 0.19 | 11.3x | 32 | 8% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=25, mult=1.7 |
9.4% | -68.4% | 0.44 | 0.14 | 19.1x | 187 | 38% |
| ADX / DI 방향성 period=17, threshold=37 |
4.6% | -30.8% | 0.44 | 0.15 | 4.4x | 46 | 5% |
| MACD fast=23, slow=60, signal=26 |
10.0% | -80.7% | 0.44 | 0.12 | 23.1x | 263 | 53% |
| ROC 모멘텀 n=93, threshold=0.12 |
4.7% | -73.1% | 0.30 | 0.06 | 4.5x | 361 | 41% |
| Parabolic SAR step=0.005, maxStep=0.16 |
1.3% | -93.2% | 0.23 | 0.01 | 1.5x | 287 | 51% |
| Buy and hold | 8.3% | -95.6% | 0.43 | 0.09 | 13.6x | 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 27-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 27-day average falls below the 218-day average