Trend-Following Backtester · Guide · backtest 한국어
equity · US
Murphy Oil Corporation backtest
10 trend-following strategies were compared on the full daily history of Murphy Oil Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.8%, MDD -69.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.0%, drawdown -94.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.8%, MDD -69.2%, Sharpe 0.31, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 4.8%, MDD -69.2%, exposure 79%).
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=18, exitN=70 |
4.8% | -69.2% | 0.31 | 0.07 | 8.8x | 133 | 79% |
| EMA 크로스오버 fast=46, slow=108 |
1.9% | -67.1% | 0.20 | 0.03 | 2.4x | 97 | 58% |
| ROC 모멘텀 n=51, threshold=-0.09 |
1.5% | -85.1% | 0.20 | 0.02 | 2.0x | 417 | 79% |
| SMA 크로스오버 fast=23, slow=205 |
1.2% | -64.6% | 0.18 | 0.02 | 1.8x | 95 | 57% |
| Supertrend period=4, mult=4.9 |
0.3% | -76.8% | 0.14 | 0.00 | 1.1x | 195 | 59% |
| 볼린저 밴드 돌파 n=36, k=3.1 |
0.2% | -43.3% | 0.07 | 0.00 | 1.1x | 58 | 8% |
| MACD fast=19, slow=44, signal=19 |
-2.8% | -89.0% | 0.03 | -0.03 | 0.3x | 533 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-3.3% | -90.0% | 0.00 | -0.04 | 0.2x | 621 | 52% |
| ADX / DI 방향성 period=39, threshold=28 |
-0.1% | -13.4% | -0.04 | -0.01 | 1.0x | 8 | 1% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=20, mult=1.2 |
-3.4% | -88.8% | -0.05 | -0.04 | 0.2x | 557 | 39% |
| Buy and hold | 4.0% | -94.6% | 0.30 | 0.04 | 6.1x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 70 days