Trend-Following Backtester · Guide · backtest 한국어
equity · US
Northern Oil and Gas, Inc. backtest
10 trend-following strategies were compared on the full daily history of Northern Oil and Gas, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.9%, MDD -66.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.3%, drawdown -99.0%).
Sharpe leader (same as main): Supertrend — CAGR 10.1%, MDD -88.5%, Sharpe 0.44, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.4%p higher than buy and hold, while drawdown improves by 10.5%p (CAGR 8.9%, MDD -66.1%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=2.2 |
10.1% | -88.5% | 0.44 | 0.11 | 6.4x | 186 | 48% |
| 볼린저 밴드 돌파 n=26, k=1.1 |
8.9% | -66.1% | 0.41 | 0.13 | 5.2x | 203 | 38% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=22, mult=2.1 |
8.2% | -68.7% | 0.40 | 0.12 | 4.6x | 102 | 25% |
| Parabolic SAR step=0.005, maxStep=0.14 |
7.9% | -75.6% | 0.39 | 0.10 | 4.3x | 163 | 48% |
| EMA 크로스오버 fast=45, slow=126 |
7.5% | -80.3% | 0.38 | 0.09 | 4.1x | 34 | 48% |
| SMA 크로스오버 fast=7, slow=213 |
7.4% | -76.2% | 0.38 | 0.10 | 4.0x | 54 | 46% |
| Donchian 채널 돌파 entryN=67, exitN=17 |
7.1% | -70.0% | 0.37 | 0.10 | 3.7x | 54 | 25% |
| ADX / DI 방향성 period=30, threshold=14 |
3.7% | -70.3% | 0.28 | 0.05 | 2.0x | 124 | 23% |
| ROC 모멘텀 n=96, threshold=-0.02 |
-0.1% | -91.2% | 0.21 | -0.00 | 1.0x | 186 | 54% |
| MACD fast=10, slow=54, signal=9 |
-2.5% | -91.0% | 0.18 | -0.03 | 0.6x | 361 | 50% |
| Buy and hold | -3.3% | -99.0% | 0.31 | -0.03 | 0.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 2.2× band
- Sell — Sell when price drops below the trend line (flips down)