Trend-Following Backtester · Guide · backtest 한국어

equity · US

Chevron Corporation backtest

10 trend-following strategies were compared on the full daily history of Chevron Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1970-01-02 ~ 2026-07-31daily bars 14,266 (56.6 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 7.5%, drawdown -59.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -67.8%, Sharpe 0.37, 79% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=76, exitN=152
5.6%-67.8%0.370.0821.8x4579%
ROC 모멘텀
n=159, threshold=-0.11
4.9%-60.5%0.330.0814.6x22386%
SMA 크로스오버
fast=57, slow=152
3.4%-56.8%0.270.066.5x9562%
EMA 크로스오버
fast=59, slow=202
3.4%-58.7%0.270.066.6x7768%
볼린저 밴드 돌파
n=59, k=3.5
1.0%-22.3%0.210.041.7x164%
Supertrend
period=36, mult=4
-2.0%-85.1%-0.02-0.020.3x29957%
Keltner 채널 돌파
emaPeriod=16, atrPeriod=19, mult=4
-0.2%-33.2%-0.02-0.000.9x201%
Parabolic SAR
step=0.005, maxStep=0.08
-4.1%-94.6%-0.14-0.040.1x49955%
MACD
fast=17, slow=33, signal=14
-4.3%-94.6%-0.15-0.050.1x80151%
ADX / DI 방향성
period=31, threshold=30
-0.6%-39.7%-0.17-0.020.7x141%
Buy and hold7.5%-59.8%0.410.1360.0x1100%
1x 10x 1971 1978 1985 1992 1999 2006 2013 2020 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -51% -68% 1971 1978 1985 1992 1999 2006 2013 2020 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -67.8% (1980-11-26 → 1986-07-15), recovered after 5,654 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

Read next