Trend-Following Backtester · Guide · backtest 한국어
equity · US
Granite Ridge Resources, Inc. backtest
10 trend-following strategies were compared on the full daily history of Granite Ridge Resources, Inc.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.3%, MDD -14.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -12.2%, drawdown -59.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -0.3%, MDD -14.5%, Sharpe -0.01, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 44.7%p (CAGR -0.3%, MDD -14.5%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=27 |
-0.3% | -14.5% | -0.01 | -0.02 | 1.0x | 4 | 5% |
| 볼린저 밴드 돌파 n=28, k=2.4 |
-1.7% | -22.9% | -0.05 | -0.08 | 0.9x | 24 | 17% |
| ROC 모멘텀 n=55, threshold=0.14 |
-3.5% | -35.2% | -0.19 | -0.10 | 0.8x | 20 | 9% |
| SMA 크로스오버 fast=32, slow=48 |
-8.0% | -50.3% | -0.22 | -0.16 | 0.6x | 34 | 42% |
| Supertrend period=33, mult=3.2 |
-9.8% | -53.9% | -0.26 | -0.18 | 0.6x | 30 | 35% |
| Donchian 채널 돌파 entryN=9, exitN=73 |
-13.9% | -61.0% | -0.27 | -0.23 | 0.4x | 17 | 86% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-10.1% | -47.9% | -0.33 | -0.21 | 0.5x | 67 | 45% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=28, mult=1.8 |
-4.1% | -22.3% | -0.37 | -0.18 | 0.8x | 20 | 8% |
| MACD fast=13, slow=41, signal=28 |
-14.8% | -61.8% | -0.45 | -0.24 | 0.4x | 57 | 51% |
| EMA 크로스오버 fast=25, slow=86 |
-11.4% | -57.0% | -0.48 | -0.20 | 0.5x | 16 | 40% |
| Buy and hold | -12.2% | -59.1% | -0.15 | -0.21 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)