Trend-Following Backtester · Guide · backtest 한국어
equity · US
Marathon Petroleum Corporation backtest
10 trend-following strategies were compared on the full daily history of Marathon Petroleum Corporation. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 21.2%, MDD -34.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 21.8%, drawdown -80.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.6%, MDD -49.7%, Sharpe 0.89, 93% exposure.
Return/drawdown alternative: MACD — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 21.2%, MDD -34.3%, exposure 52%).
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=3, exitN=77 |
28.6% | -49.7% | 0.89 | 0.58 | 45.6x | 47 | 93% |
| ROC 모멘텀 n=141, threshold=-0.09 |
23.4% | -47.7% | 0.88 | 0.49 | 24.3x | 73 | 77% |
| MACD fast=9, slow=39, signal=23 |
21.2% | -34.3% | 0.86 | 0.62 | 18.6x | 195 | 52% |
| 볼린저 밴드 돌파 n=25, k=2.3 |
14.9% | -30.4% | 0.82 | 0.49 | 8.2x | 81 | 31% |
| EMA 크로스오버 fast=18, slow=219 |
18.4% | -45.0% | 0.78 | 0.41 | 12.9x | 27 | 69% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=14, mult=2.2 |
12.5% | -22.3% | 0.75 | 0.56 | 6.0x | 75 | 29% |
| Supertrend period=18, mult=2.4 |
17.9% | -43.3% | 0.74 | 0.41 | 12.1x | 139 | 59% |
| SMA 크로스오버 fast=19, slow=213 |
15.7% | -60.7% | 0.70 | 0.26 | 9.2x | 29 | 67% |
| Parabolic SAR step=0.015, maxStep=0.12 |
12.3% | -56.6% | 0.56 | 0.22 | 5.8x | 279 | 56% |
| ADX / DI 방향성 period=16, threshold=16 |
10.2% | -45.5% | 0.54 | 0.22 | 4.4x | 211 | 43% |
| Buy and hold | 21.8% | -80.8% | 0.70 | 0.27 | 19.9x | 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 3 days
- Sell — Sell when price breaks below the lowest low of the last 77 days