Trend-Following Backtester · Guide · backtest 한국어
equity · US
EOG Resources, Inc. backtest
10 trend-following strategies were compared on the full daily history of EOG Resources, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.7%, drawdown -77.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.5%, MDD -68.8%, Sharpe 0.41, 84% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=70 |
8.5% | -68.8% | 0.41 | 0.12 | 20.0x | 113 | 84% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
1.6% | -12.8% | 0.35 | 0.13 | 1.8x | 8 | 1% |
| EMA 크로스오버 fast=35, slow=179 |
5.2% | -69.4% | 0.32 | 0.07 | 6.4x | 75 | 61% |
| SMA 크로스오버 fast=30, slow=212 |
5.1% | -67.7% | 0.32 | 0.08 | 6.3x | 63 | 60% |
| ROC 모멘텀 n=68, threshold=-0.11 |
4.8% | -76.5% | 0.31 | 0.06 | 5.7x | 331 | 81% |
| Supertrend period=19, mult=2.9 |
3.9% | -67.7% | 0.28 | 0.06 | 4.1x | 291 | 54% |
| Parabolic SAR step=0.005, maxStep=0.14 |
0.4% | -65.8% | 0.15 | 0.01 | 1.2x | 327 | 53% |
| ADX / DI 방향성 period=38, threshold=13 |
0.9% | -76.4% | 0.14 | 0.01 | 1.4x | 214 | 30% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=20, mult=1.7 |
0.0% | -59.3% | 0.11 | 0.00 | 1.0x | 303 | 37% |
| MACD fast=14, slow=46, signal=18 |
-2.2% | -84.7% | 0.05 | -0.03 | 0.4x | 461 | 50% |
| Buy and hold | 11.7% | -77.5% | 0.48 | 0.15 | 59.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 12 days
- Sell — Sell when price breaks below the lowest low of the last 70 days