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. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.9%, MDD -32.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.4%, drawdown -43.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.9%, MDD -36.9%, Sharpe 0.61, 88% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 6.3%p (CAGR 13.9%, MDD -32.1%, exposure 69%).
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 |
16.9% | -36.9% | 0.61 | 0.46 | 2.3x | 10 | 88% |
| 볼린저 밴드 돌파 n=59, k=1.5 |
11.9% | -27.9% | 0.60 | 0.43 | 1.8x | 18 | 44% |
| EMA 크로스오버 fast=24, slow=207 |
13.9% | -32.1% | 0.57 | 0.43 | 2.0x | 6 | 69% |
| SMA 크로스오버 fast=24, slow=177 |
11.3% | -32.1% | 0.51 | 0.35 | 1.7x | 10 | 61% |
| Supertrend period=15, mult=4.4 |
8.0% | -42.3% | 0.41 | 0.19 | 1.5x | 18 | 64% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=21, mult=2.9 |
6.3% | -25.6% | 0.40 | 0.25 | 1.4x | 14 | 34% |
| MACD fast=16, slow=31, signal=16 |
6.5% | -32.4% | 0.37 | 0.20 | 1.4x | 63 | 49% |
| ROC 모멘텀 n=140, threshold=0.02 |
6.4% | -32.1% | 0.36 | 0.20 | 1.4x | 32 | 64% |
| ADX / DI 방향성 period=23, threshold=14 |
0.6% | -40.3% | 0.15 | 0.02 | 1.0x | 50 | 45% |
| Parabolic SAR step=0.055, maxStep=0.28 |
-0.2% | -51.4% | 0.13 | -0.00 | 1.0x | 210 | 52% |
| Buy and hold | 16.4% | -43.2% | 0.58 | 0.38 | 2.2x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 78 days