Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nabors Industries Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nabors Industries Ltd.. 7 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.6%, MDD -75.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.5%, drawdown -99.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 6.2%, MDD -85.7%, Sharpe 0.35, 51% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 13.9%p (CAGR 5.6%, MDD -75.1%, 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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.02 |
6.2% | -85.7% | 0.35 | 0.07 | 25.2x | 286 | 51% |
| SMA 크로스오버 fast=22, slow=94 |
6.1% | -91.3% | 0.35 | 0.07 | 23.6x | 160 | 53% |
| EMA 크로스오버 fast=53, slow=207 |
5.6% | -75.1% | 0.34 | 0.07 | 18.4x | 65 | 52% |
| Donchian 채널 돌파 entryN=36, exitN=30 |
4.7% | -82.3% | 0.32 | 0.06 | 11.4x | 216 | 50% |
| Supertrend period=20, mult=5 |
2.7% | -90.1% | 0.28 | 0.03 | 4.2x | 166 | 50% |
| 볼린저 밴드 돌파 n=54, k=2.7 |
3.9% | -82.1% | 0.28 | 0.05 | 7.8x | 138 | 24% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=23, mult=3.5 |
1.8% | -83.8% | 0.22 | 0.02 | 2.6x | 144 | 28% |
| MACD fast=17, slow=55, signal=19 |
-5.1% | -99.2% | 0.19 | -0.05 | 0.1x | 610 | 53% |
| ADX / DI 방향성 period=23, threshold=7 |
-4.4% | -98.9% | 0.18 | -0.04 | 0.1x | 858 | 54% |
| ROC 모멘텀 n=87, threshold=0.08 |
-3.4% | -95.8% | 0.12 | -0.04 | 0.2x | 626 | 43% |
| Buy and hold | 0.5% | -99.6% | 0.38 | 0.00 | 1.3x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots