Trend-Following Backtester · Guide · backtest 한국어
equity · US
ConocoPhillips backtest
10 trend-following strategies were compared on the full daily history of ConocoPhillips. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -73.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.4%, MDD -42.2%, Sharpe 0.35, 65% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=31, slow=362 |
5.4% | -42.2% | 0.35 | 0.13 | 10.7x | 55 | 65% |
| Donchian 채널 돌파 entryN=78, exitN=88 |
4.2% | -57.1% | 0.30 | 0.07 | 6.4x | 61 | 65% |
| EMA 크로스오버 fast=34, slow=77 |
4.1% | -52.8% | 0.29 | 0.08 | 6.1x | 121 | 60% |
| ROC 모멘텀 n=185, threshold=-0.11 |
3.7% | -60.3% | 0.27 | 0.06 | 5.2x | 217 | 81% |
| ADX / DI 방향성 period=26, threshold=39 |
0.2% | -2.5% | 0.19 | 0.07 | 1.1x | 2 | 0% |
| Supertrend period=8, mult=5 |
0.8% | -55.0% | 0.15 | 0.01 | 1.4x | 143 | 56% |
| 볼린저 밴드 돌파 n=38, k=3.2 |
0.8% | -36.0% | 0.13 | 0.02 | 1.4x | 46 | 8% |
| MACD fast=22, slow=32, signal=12 |
-3.2% | -94.3% | -0.04 | -0.03 | 0.2x | 631 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.4% | -90.6% | -0.05 | -0.04 | 0.2x | 385 | 54% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=23, mult=2.8 |
-1.9% | -76.4% | -0.05 | -0.02 | 0.4x | 191 | 28% |
| Buy and hold | 7.5% | -73.9% | 0.39 | 0.10 | 25.6x | 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 31-day average price crosses above the 362-day average
- Sell — Sell (to cash) when the 31-day average falls below the 362-day average