Trend-Following Backtester · Guide · backtest 한국어
equity · US
HF Sinclair Corporation backtest
10 trend-following strategies were compared on the full daily history of HF Sinclair Corporation. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 12.1%, MDD -66.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.6%, drawdown -86.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.7%, MDD -71.0%, Sharpe 0.75, 55% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 15.2%p (CAGR 12.1%, MDD -66.5%, exposure 44%).
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=49, slow=131 |
19.7% | -71.0% | 0.75 | 0.28 | 4251.2x | 79 | 55% |
| Donchian 채널 돌파 entryN=98, exitN=78 |
15.5% | -71.5% | 0.65 | 0.22 | 813.0x | 63 | 51% |
| EMA 크로스오버 fast=57, slow=106 |
15.3% | -75.9% | 0.63 | 0.20 | 737.7x | 75 | 57% |
| ROC 모멘텀 n=141, threshold=0.1 |
12.1% | -66.5% | 0.56 | 0.18 | 200.5x | 309 | 44% |
| Supertrend period=28, mult=4.6 |
12.6% | -69.9% | 0.55 | 0.18 | 251.8x | 235 | 52% |
| ADX / DI 방향성 period=29, threshold=24 |
7.1% | -39.6% | 0.52 | 0.18 | 24.0x | 101 | 15% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=21, mult=1.7 |
9.4% | -80.0% | 0.47 | 0.12 | 64.2x | 283 | 44% |
| 볼린저 밴드 돌파 n=46, k=2.4 |
7.5% | -54.2% | 0.45 | 0.14 | 28.8x | 151 | 27% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.8% | -83.0% | 0.37 | 0.08 | 20.9x | 373 | 52% |
| MACD fast=9, slow=56, signal=11 |
2.6% | -71.0% | 0.23 | 0.04 | 3.3x | 787 | 51% |
| Buy and hold | 14.6% | -86.2% | 0.53 | 0.17 | 556.6x | 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 49-day average price crosses above the 131-day average
- Sell — Sell (to cash) when the 49-day average falls below the 131-day average