Trend-Following Backtester · Guide · backtest 한국어
equity · US
Comstock Resources, Inc. backtest
10 trend-following strategies were compared on the full daily history of Comstock Resources, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.9%, MDD -36.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.8%, drawdown -99.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.3%, MDD -84.0%, Sharpe 0.30, 51% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.8%, MDD -57.5%, exposure 18%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 15.3%p (CAGR 1.9%, MDD -36.8%, exposure 2%).
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=53, slow=102 |
3.3% | -84.0% | 0.30 | 0.04 | 3.5x | 112 | 51% |
| Donchian 채널 돌파 entryN=82, exitN=9 |
3.8% | -57.5% | 0.27 | 0.07 | 4.3x | 138 | 18% |
| 볼린저 밴드 돌파 n=62, k=3.1 |
3.4% | -68.9% | 0.26 | 0.05 | 3.6x | 50 | 14% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=23, mult=3.4 |
1.6% | -77.9% | 0.20 | 0.02 | 1.9x | 104 | 20% |
| ADX / DI 방향성 period=32, threshold=37 |
1.9% | -36.8% | 0.20 | 0.05 | 2.1x | 8 | 2% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-3.7% | -97.8% | 0.18 | -0.04 | 0.2x | 520 | 50% |
| EMA 크로스오버 fast=56, slow=132 |
-1.4% | -96.2% | 0.17 | -0.01 | 0.6x | 66 | 48% |
| Supertrend period=28, mult=4.9 |
-4.4% | -93.8% | 0.12 | -0.05 | 0.2x | 128 | 45% |
| ROC 모멘텀 n=144, threshold=0.14 |
-2.8% | -92.1% | 0.11 | -0.03 | 0.3x | 366 | 37% |
| MACD fast=7, slow=31, signal=17 |
-11.1% | -99.7% | 0.05 | -0.11 | 0.0x | 742 | 52% |
| Buy and hold | -3.8% | -99.4% | 0.33 | -0.04 | 0.2x | 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 53-day average price crosses above the 102-day average
- Sell — Sell (to cash) when the 53-day average falls below the 102-day average