Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gulfport Energy Corporation backtest
10 trend-following strategies were compared on the full daily history of Gulfport Energy Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 18.4%, drawdown -43.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.5%, MDD -36.9%, Sharpe 0.65, 88% 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=14, exitN=78 |
18.5% | -36.9% | 0.65 | 0.50 | 2.5x | 11 | 88% |
| 볼린저 밴드 돌파 n=59, k=1.5 |
12.4% | -27.9% | 0.62 | 0.44 | 1.9x | 19 | 44% |
| EMA 크로스오버 fast=24, slow=207 |
13.7% | -32.1% | 0.57 | 0.43 | 2.0x | 6 | 68% |
| SMA 크로스오버 fast=24, slow=177 |
11.1% | -32.1% | 0.50 | 0.35 | 1.7x | 10 | 60% |
| MACD fast=16, slow=31, signal=16 |
8.6% | -32.4% | 0.44 | 0.27 | 1.5x | 63 | 50% |
| Supertrend period=15, mult=4.4 |
8.5% | -42.8% | 0.43 | 0.20 | 1.5x | 19 | 63% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=21, mult=2.9 |
6.2% | -25.6% | 0.40 | 0.24 | 1.4x | 14 | 34% |
| ROC 모멘텀 n=140, threshold=0.02 |
6.3% | -32.1% | 0.36 | 0.20 | 1.4x | 32 | 63% |
| ADX / DI 방향성 period=23, threshold=14 |
1.8% | -40.3% | 0.20 | 0.04 | 1.1x | 51 | 45% |
| Parabolic SAR step=0.055, maxStep=0.28 |
-0.5% | -53.6% | 0.12 | -0.01 | 1.0x | 217 | 53% |
| Buy and hold | 18.4% | -43.2% | 0.63 | 0.43 | 2.4x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 78 days