Trend-Following Backtester · Guide · backtest 한국어
equity · US
Antero Resources Corporation backtest
10 trend-following strategies were compared on the full daily history of Antero Resources Corporation. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.6%, MDD -34.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.8%, drawdown -99.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.0%, MDD -49.6%, Sharpe 0.61, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.8%p higher than buy and hold, while drawdown improves by 49.4%p (CAGR 6.6%, MDD -34.0%, exposure 13%).
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=32, slow=146 |
17.0% | -49.6% | 0.61 | 0.34 | 7.5x | 22 | 44% |
| Donchian 채널 돌파 entryN=47, exitN=75 |
15.0% | -58.1% | 0.54 | 0.26 | 6.0x | 20 | 58% |
| EMA 크로스오버 fast=51, slow=94 |
14.1% | -60.1% | 0.54 | 0.23 | 5.4x | 20 | 45% |
| ROC 모멘텀 n=133, threshold=0.08 |
12.1% | -61.4% | 0.50 | 0.20 | 4.3x | 91 | 36% |
| ADX / DI 방향성 period=9, threshold=34 |
9.5% | -44.5% | 0.49 | 0.21 | 3.2x | 82 | 14% |
| 볼린저 밴드 돌파 n=51, k=1.7 |
8.7% | -50.8% | 0.42 | 0.17 | 2.9x | 50 | 26% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=28, mult=3.5 |
6.6% | -34.0% | 0.38 | 0.19 | 2.3x | 24 | 13% |
| Supertrend period=9, mult=2.9 |
3.1% | -90.0% | 0.28 | 0.03 | 1.5x | 86 | 46% |
| Parabolic SAR step=0.03, maxStep=0.04 |
2.4% | -91.8% | 0.25 | 0.03 | 1.3x | 159 | 47% |
| MACD fast=12, slow=39, signal=16 |
-8.3% | -94.1% | 0.00 | -0.09 | 0.3x | 191 | 51% |
| Buy and hold | -2.8% | -99.0% | 0.23 | -0.03 | 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 32-day average price crosses above the 146-day average
- Sell — Sell (to cash) when the 32-day average falls below the 146-day average