Trend-Following Backtester · Guide · backtest 한국어
equity · US
California Resources Corporation backtest
10 trend-following strategies were compared on the full daily history of California Resources Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 24.2%, drawdown -45.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 15.3%, MDD -14.1%, Sharpe 0.90, 23% 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=18, threshold=24 |
15.3% | -14.1% | 0.90 | 1.09 | 2.3x | 20 | 23% |
| ROC 모멘텀 n=6, threshold=0.13 |
9.7% | -17.8% | 0.81 | 0.55 | 1.7x | 34 | 4% |
| Parabolic SAR step=0.02, maxStep=0.28 |
14.9% | -46.0% | 0.61 | 0.32 | 2.2x | 126 | 52% |
| Supertrend period=13, mult=2 |
13.7% | -47.2% | 0.58 | 0.29 | 2.1x | 64 | 52% |
| Donchian 채널 돌파 entryN=8, exitN=8 |
13.2% | -44.4% | 0.56 | 0.30 | 2.0x | 66 | 48% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=27, mult=3.4 |
6.8% | -22.0% | 0.50 | 0.31 | 1.5x | 12 | 19% |
| SMA 크로스오버 fast=51, slow=70 |
6.7% | -27.2% | 0.37 | 0.25 | 1.5x | 34 | 55% |
| 볼린저 밴드 돌파 n=19, k=1.1 |
4.7% | -47.8% | 0.30 | 0.10 | 1.3x | 92 | 43% |
| MACD fast=15, slow=34, signal=8 |
4.5% | -46.6% | 0.30 | 0.10 | 1.3x | 93 | 49% |
| EMA 크로스오버 fast=59, slow=184 |
4.1% | -35.5% | 0.28 | 0.11 | 1.3x | 10 | 64% |
| Buy and hold | 24.2% | -45.6% | 0.72 | 0.53 | 3.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 18-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)