Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ovintiv Inc. (DE) backtest
10 trend-following strategies were compared on the full daily history of Ovintiv Inc. (DE). 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.6%, MDD -31.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.8%, drawdown -99.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.8%, MDD -68.8%, Sharpe 0.46, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 30.8%p (CAGR 4.6%, MDD -31.6%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=40, slow=180 |
9.8% | -68.8% | 0.46 | 0.14 | 9.7x | 35 | 56% |
| ADX / DI 방향성 period=35, threshold=21 |
4.6% | -31.6% | 0.40 | 0.14 | 3.0x | 28 | 9% |
| Donchian 채널 돌파 entryN=13, exitN=61 |
7.7% | -86.0% | 0.39 | 0.09 | 6.1x | 79 | 80% |
| EMA 크로스오버 fast=55, slow=213 |
5.8% | -76.6% | 0.35 | 0.08 | 3.9x | 25 | 51% |
| ROC 모멘텀 n=153, threshold=0.07 |
4.9% | -73.1% | 0.31 | 0.07 | 3.2x | 189 | 46% |
| 볼린저 밴드 돌파 n=55, k=2.3 |
4.2% | -61.5% | 0.30 | 0.07 | 2.7x | 73 | 27% |
| MACD fast=8, slow=30, signal=11 |
3.0% | -91.5% | 0.26 | 0.03 | 2.1x | 473 | 51% |
| Supertrend period=11, mult=4.4 |
0.9% | -70.4% | 0.18 | 0.01 | 1.2x | 105 | 52% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=28, mult=2.5 |
0.3% | -79.1% | 0.13 | 0.00 | 1.1x | 111 | 30% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-1.0% | -90.4% | 0.12 | -0.01 | 0.8x | 435 | 51% |
| Buy and hold | -0.8% | -99.5% | 0.26 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 40-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 40-day average falls below the 180-day average