Trend-Following Backtester · Guide · backtest 한국어
equity · US
Viper Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of Viper Energy, Inc.. 8 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 13.0%, MDD -28.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.7%, drawdown -88.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.0%, MDD -28.2%, Sharpe 0.68, 33% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.5%, MDD -44.2%, exposure 53%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 60.0%p (CAGR 13.0%, MDD -28.2%, exposure 33%).
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=139, exitN=48 |
13.0% | -28.2% | 0.68 | 0.46 | 4.4x | 12 | 33% |
| SMA 크로스오버 fast=52, slow=145 |
13.5% | -44.2% | 0.60 | 0.31 | 4.7x | 20 | 53% |
| EMA 크로스오버 fast=48, slow=135 |
12.7% | -45.6% | 0.58 | 0.28 | 4.3x | 14 | 52% |
| 볼린저 밴드 돌파 n=49, k=2.3 |
7.2% | -29.7% | 0.45 | 0.24 | 2.3x | 40 | 29% |
| ADX / DI 방향성 period=35, threshold=13 |
6.7% | -35.2% | 0.40 | 0.19 | 2.2x | 74 | 32% |
| ROC 모멘텀 n=133, threshold=0.08 |
7.2% | -41.0% | 0.40 | 0.18 | 2.3x | 106 | 46% |
| Supertrend period=8, mult=3.5 |
6.1% | -45.8% | 0.35 | 0.13 | 2.0x | 55 | 53% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=14, mult=2.2 |
5.2% | -41.6% | 0.35 | 0.13 | 1.9x | 48 | 33% |
| MACD fast=7, slow=29, signal=8 |
-2.8% | -62.7% | 0.06 | -0.04 | 0.7x | 305 | 52% |
| Parabolic SAR step=0.02, maxStep=0.42 |
-5.1% | -62.2% | -0.03 | -0.08 | 0.5x | 265 | 53% |
| Buy and hold | 2.7% | -88.2% | 0.29 | 0.03 | 1.4x | 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 139 days
- Sell — Sell when price breaks below the lowest low of the last 48 days